آرشیو

آرشیو شماره ها:
۴۴

چکیده

اهداف: رفتار بلندمدت بازارهای سهام به دلیل ارتباط مستقیم با ارزش گذاری قیمت اوراق بهادار برای مدیران دارایی و کارشناسان مالی از اهمیت درخورتوجهی برخوردار است. پایداری تلاطم تأثیر درخور توجهی بر بازده قیمت های اوراق بهادار دارد. با این حال اگر تلاطم پایدار نباشد، هیچ اثر معنادار واقعی از تلاطم فعلی بر قیمت ها و بازده اوراق بهادار آتی وجود نخواهد داشت. پی آیند دوران هایی که پایداری تلاطمی در بازار سهام افزایش می یابد، کاهش شدید در قیمت های سهام است؛ بنابراین می توان ارتباط بین سقوط های سنگین در بازار سهام را با پدیده پایداری زیاد تلاطم مرتبط دانست.روش: در پژوهش حاضر با استفاده از آزمون ریشه واحد بیزی، پایداری تلاطم بازار سهام تهران در چارچوب SV و SVJ  بررسی شده است. این دو روش در لحاظ کردن پرش در قیمت دارایی با یکدیگر تفاوت دارند که موضوع اساسی در بازارهای مالی جهان است.یافته ها: آزمون پایداری تلاطم با استفاده از فاکتور بیزی در هر دو الگوی SV و SVJ نشان می دهد هرچند در بازه زمانی 1398-1400 فرضیه وجود ریشه واحد در تلاطم قیمت های بازار سهام تهران رد می شود، اما پایداری تلاطمی بسیار زیاد بوده است. افزایش معامله گران غیرمنطقی در این بازه زمانی از دلایل افزایش پایداری تلاطمی بازار بوده است. یافته ها نشان دهنده آن است که جریان اطلاعات در بازار سهام تهران و جذب اطلاعات در قیمت های آن به کندی صورت می گیرد. ویژگی پایداری تلاطمی زیاد در این بازار، نتیجه ساختار بسته آن و تمرکز وزن بازار روی چند گروه اصلی است؛ درنتیجه انتشار منظم صورت های مالی، آموزش معامله گران و استفاده از تحلیل های کارشناسی همراه تنوع بخشی سرمایه گذاران و تمرکزنکردن بر گرو های خاص در تشکیل سبد به کاهش پایداری تلاطمی کمک خواهد کرد.نوآوری: در پژوهش حاضر تحولات در شاخص کل بازار بورس تهران درنتیجه وجود یا نبود ریشه واحد در تلاطم بازده بررسی شده است. با توجه به اینکه بازار سهام تهران، بازاری در حال توسعه از یک اقتصاد درمعرض تحریم های سنگین اقتصادی است و ویژگی های آن کمتر شناخته شده، بررسی آن با استفاده از روش های اقتصادسنجی مالی، کمکی در پیشبرد علم مالی است. از سوی دیگر، این نخستین پژوهشی است که فرضیه سقوط شاخص سهام بورس اوراق بهادار تهران را درنتیجه وجود ریشه واحد در تلاطم شرطی بازده با حضور پرش در بازده بررسی می کند. از آنجاکه پرش در قیمت های سهام پدیده ای رایج در بازار است و می تواند فرآیند پویایی تلاطم را تحریف کند و بیش از حد تخمین بزند، این موضوع شایان اهمیت است.

Measuring the Volatility Persistence of the Tehran Stock Exchange using Stochastic Volatility Models with Jump in Return

The long-term behavior of stock markets is of considerable importance to asset managers and financial experts due to its direct relationship with stock price valuation. Volatility persistence has a significant effect on stock price returns. Therefore, the relationship between heavy falls in the stock market can be related to the phenomenon of high volatility persistence. In the present study, using the Bayesian unit root test, the persistence of the Tehran stock Exchange volatility has been investigated in the framework of SV and SVJ. The results of this test using the Bayesian factor in different specifications of both SV and SVJ models show that although the unit root is rejected in the volatility of the Tehran stock Exchange prices in the period of 1398-1400 (2019-2021), the persistence of the volatility was very high. The increase of irrational traders in this period of time has been one of the reasons for increasing the persistence of market volatility. The findings show that the flow of information in the Tehran stock market and the absorption of information in its prices are slow. The characteristic of high volatility persistence in this market is the result of its closed structure and the concentration of market weight on a few main groups. As a result, regular release of financial statements, training of traders, and use of expert analysis along with diversification of investors and not focusing on specific pledges in portfolio formation will help to reduce volatility persistence.Keywords: Stock Prices, Volatility Persistence, Stochastic Volatility, Volatility Unit Root. IntroductionIn financial literature, stock market performance depends on the relationship between stock market price volatility and changes in stock price levels (Bekaert et al., 2009). Pindyck (1981) considers the poor performance of the New York stock market in 1970 to be due to the increase in the volatility of this market, which increased risk. Mandimika and Chinzara (2012) state that what matters in determining the relationship between volatility and stock prices is volatility persistence. Because only volatility persistence justifies changes in risk allocation. In the definition, volatility persistence refers to the resistance of volatility to return to its long-term average level and shows the duration of persistence of Volatility shocks (Wang & Yang, 2017). Therefore, investigating the question of whether stock market volatility shocks contain long-term or temporary effects is very important (Nilchi et al, 2022). In this regard, this study used two models of stochastic volatility (SV) and stochastic Volatility with the jump in return (SVJ). This study is important for investment practitioners and market participants because it examines the extent of volatility persistence in the current environment, which has important implications for risk management and portfolio management. Materials and MethodsUsing a mathematical model, Poterba and Summers (1984) investigated the relationship between changes in stock prices and changes in volatility persistence. This study investigates the model presented by Poterba and Summers (1984) regarding the type of econometric methods, and unit root tests in volatility using SV and SVJ models. Due to the discrete form of the maximum likelihood function of these models, their parameters are estimated using the Bayesian method. Andersen et al. (1999) consider this method to be more efficient than other alternative methods and the reason for this is the use of the Monte Carlo simulation of Markov chains or MCMC. Research FindingsBoth SV and SVJ models indicated that volatility persistence is high in all three time frames of this research. This feature can happen due to the closed structure of the Tehran stock Exchange, as a result of which the flow of information in the market and the absorption of information in stock prices are slow. On the other hand, the concentration of the market weight on a few main groups can be another factor of high volatility persistence in the Tehran stock Exchange. However, from 2019 to 2021, the degree of volatility persistence was slightly higher than in other periods, and one of the most important reasons for this is the increase in the number of irrational traders in this period. Irrational traders have the potential to enhance volatility persistence. It is worth noting that the volatility persistence in the Tehran stock Exchange cannot be attributed to changes that are periodic (such as profit disclosure and seasonal changes in the supply and demand of certain market groups). On the other hand, the results of comparing the estimates of SV and SVJ models show that the existence of a jump component for modeling volatility in the daily return of the total stock index will have a strong impact on the calculation of volatility persistence in this market, and therefore, ignoring this component in the models can lead to inaccurate results. Discussion of Results and ConclusionsPaying attention to this results is necessary for designing risk-hedging strategies and forecasting future market performance. In another part of this study, the unit root test in volatility showed that despite the high volatility persistence, the hypothesis of the existence of a unit root of volatility is rejected. Therefore, the hypothesis of long-term market collapse as a result of extreme volatility persistence (ϕ=1) is not confirmed using the SVJ model. The consequence of this issue is that the volatility waves caused by negative shocks on the capital market will not have an extreme volatility persistence and the long-term activity of investors in this market does not face a serious risk (heavy falls), and on the other hand, this means that the market immediately reacts to the information that the financial system does not react to it, but gradually reacts to it over time. 

تبلیغات