تخمین ارزش در معرض ریسک مبتنی بر رویکرد شبیه سازی تاریخی فیلترشده و تحلیل سرریز ریسک در بازار اوراق بهادار تهران؛ مطالعۀ موردی گروه های محصولات شیمیایی، بانک ها و مؤسسات اعتباری (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف از این پژوهش، بررسی سازوکار سرریز ریسک بین گروه محصولات شیمیایی، بانک ها و مؤسسات اعتباری در طول زمان و مقایسۀ آن با سرریز تلاطم بین آن دو است. بازۀ زمانی این پژوهش، از فروردین 1388 تا اسفند 1399 بوده و در آن از داده های روزانه استفاده شده است. در این پژوهش، از روش شبیه سازی تاریخی فیلترشده برای محاسبۀ ارزش در معرض ریسک و از آزمون علیت گرانجر برای بررسی سرریز ریسک استفاده شده است. نتایج نشان دهندۀ آن است که سرریز ریسک بین دو گروه موردمطالعه، به فاصلۀ یک و دو روز از وقوع ریسک در بازار مبدأ، سرریزی دوطرفه است. در وقفه های بالاتر تا پنج روز پس از وقوع ریسک در بازار مبدأ نیز تنها سرریز ریسک از گروه محصولات شیمیایی به گروه بانک ها و مؤسسات اعتباری وجود داشته و در عکس آن معنادار نیست. این در حالی است که نتایج بررسی سرریز تلاطم بین این دو گروه، سرریز را در تمام وقفه ها تنها از گروه محصولات شیمیایی به گروه بانک ها و مؤسسات اعتباری معنادار نشان داده است. گروه های انتخاب شده برای بررسی سرریز ریسک و روش استفاده شده برای محاسبۀ ارزش در معرض ریسک در آنها، نمونه هایی است که این پژوهش را از بقیه متمایز می کند.Estimation of Value-at-Risk (VaR) through Filtered Historical Simulation (FHS) and Analysis of Risk Spillover in Tehran Stock Exchange (TSE): Evidence from the Groups of Chemical Products and Banks & Credit Institutions
This paper aimed at investigating the risk spillover mechanism between the groups of chemical products and banks & credit institutions with the passage of time and compare it with the volatility spillover mechanism between them. For this purpose, we used the daily data from March 2009 to February 2021. Also, we used the Filtered Historical Simulation (FHS) method for estimating Value-at-Risk (VaR) and the Granger causality test for risk spillover existence. Our results showed a bilateral spillover between the two groups for Lags 1 and 2. Also, for Lags 3 to 5, there was a unilateral spillover from the group of chemical products to the group of banks & credit institutions, the opposite of which was not significant. However, investigation of volatility spillover between these two groups revealed absolute stable unilateral spillover from the group of chemical products to that of the banks & credit institutions. The investigated groups in the risk spillover field and the VaR estimation method distinguished this paper from other studies. Keywords : Risk Spillover, Value-at-Risk (VaR), Filtered Historical Simulation (FHS), Granger Causality Test, Group of Chemical Products, Group of Banks and Credit Institutions. Introduction As an essential aspect of interdependence between financial markets, information transmission specifies how excellent or bad the generated information could be transferred from one market to another. This phenomenon, which affects market’s financial risk, is investigated via risk spillover. Risk spillover is a notion that examines whether risk creation in a market leads to risk creation in another market or not. This mechanism, which effectively helps investors to manage their portfolios, uncovers market co-movements. Since investors in a stock market may choose stocks of different sub-market groups, studying risk spillover mechanism in interdependent markets seems crucial. It shows how a generated risk in a specific group of stock market can generate risk in other market groups. This is vital for portfolio risk management. Therefore, this study investigated risk spillover mechanism between two critical groups of Tehran Stock Exchange (TSE), i.e., chemical products and banks & credit institutions. Method and Data In this study, financial risk was estimated by the Value-at-Risk criterion through Filtered Historical Simulation (FHS) method. Then, the Granger causality test with 5 lags was utilized for determining risk spillover existence. The groups of chemical products and banks & credit institutions listed in TSE from March 2009 to February 2021 were selected as the research data. Findings The results showed that there was a bilateral risk spillover between the two groups for Lags 1 and 2 and a unilateral risk spillover from the group of chemical products to that of the banks & credit institutions for Lags 3 to 5 for the entire study period. However, investigating volatility spillover to complete recognition of spillover mechanism showed a complete unilateral volatility spillover from the group of chemical products to that of the banks & Credit institutions for Lags 1 to 5. Another lateral recognition was obtained by dividing the period into two equal parts. The results revealed a complete unilateral risk spillover from the group of chemical products to that of the banks & credit institutions for Lags 1 to 5 in each divided period. Conclusion and discussion Based on the findings, there was a significant stable risk spillover from the group of chemical products to that of the banks & credit institutions, which meant that any generated risk in the former group would stably overflow to the latter group at least 5 days after the risk was generated. However, there was no significant stable risk spillover in the opposite direction. In fact, despite the existence of bilateral risk spillover in Lags 1 and 2, the results of the split periods did not confirm the risk spillover from the group of banks & credit institutions to that of chemical products. Therefore, according to such evidence and existence of unilateral volatility spillover in the whole period, the risk spillover from the group of banks & credit institutions to the group of chemical products was much weaker than that exerted in the opposite direction and could be thus neglected.
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