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Co-movement among industry indices of Tehran Stock Exchange, Wavelet Coherence approach | ||
| Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies) | ||
| مقاله 5، دوره 9، شماره 3، مهر 2016، صفحه 539-558 اصل مقاله (1.03 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/ijms.2016.57541 | ||
| نویسندگان | ||
| Somayeh Mohammadi1؛ Ebrahim Abbasi* 1؛ Gholamreza Mansourfar2؛ Fahimeh Beiglari3 | ||
| 1Faculty of Social sciences & Economic, Alzahra University, Tehran, Iran | ||
| 2Faculty of Economic & Administration, Urmia University, Urmia, Iran | ||
| 3Department of Science, Urmia University of Technlogy,Urmia, Iran | ||
| چکیده | ||
| Co-movement analysis has a significant role in recourse allocation, risk management, etc. This study uses the novel approach of wavelet coherence in continuous wavelet transform framework to investigate the correlation dynamic and spillover effect of 10 main sector indices of Tehran Stock Exchange, in time and frequency domains. Analyzing the data indicates that correlation structure among TSE sectors is dynamic and varies over time. Besides, co-movements of industry indices have a multi-scale character. In other words, investors with different investment horizons would benefit differently if they diversify their portfolios via the same industries. In addition, results indicate that the spillover effect pattern is a scaled based phenomenon. This study suggests time scales of 2-32 days as the best time horizon for portfolio diversification. | ||
| کلیدواژه‌ها | ||
| Co-movement؛ Continuous wavelet transform؛ Sector returns؛ Volatility spillover؛ Wavelet Coherence | ||
| عنوان مقاله [English] | ||
| بررسی هم‌حرکتی بازده در میان صنایع بورس اوراق بهادار تهران، رویکرد همبستگی موجکی | ||
| نویسندگان [English] | ||
| سمیه محمدی1؛ ابراهیم عباسی1؛ غلامرضا منصورفر2؛ فهیمه بیگلری3 | ||
| 1گروه مدیریت، دانشکده عاوم اجتماعی و اقتصادی، دانشگاه الزهرا، تهران، ایران | ||
| 2گروه حسابداری، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران | ||
| 3گروه ریاضی کاربردی، دانشکده علوم پایه، دانشگاه صنعتی ارومیه، ارومیه، ایران | ||
| چکیده [English] | ||
| بررسی هم‌حرکتی بخش‌ها نقشی اساسی در تخصیص بهینة منابع و مدیریت ریسک دارد. این پژوهش با استفاده از رویکرد نوین همبستگی موجکی در چارچوب تبدیل موجک پیوسته، تغییر و پویایی هم حرکتی بازده و اثر سرایت نوسانات شاخص ده صنعت بزرگ بورس اوراق بهادار تهران را به طور هم‌زمان در دو دامنة زمان و فرکانس بررسی می‌کند. تجزیه‌وتحلیل داده‌ها نشان‌دهندة وجود ویژگی پویایی در ساختار همبستگی میان بازده شاخص صنایع بورس اوراق بهادار تهران طی زمان است. به‌علاوه، همبستگی متقابل بازده صنایع دارای ویژگی چند مقیاسی است. به‌عبارتی دیگر سرمایه‌گذاران با افق‌های سرمایه‌گذاری مختلف، با تشکیل سبد سهام از میان صنایع یکسان به یک میزان منتفع نمی‌شوند. همچنین، الگوی سرایت نوسانات میان شاخص صنایع پدیده‌ای وابسته به مقیاس است. این پژوهش افق‌های سرمایه‌گذاری 2-32 روزه را بهترین مقیاس‌های زمانی در تنوع‌سازی پرتفوی معرفی می‌کند. | ||
| کلیدواژه‌ها [English] | ||
| بازده صنایع, تبدیل موجک پیوسته, سرایت‌پذیری نوسانات, همبستگی موجکی, هم‌حرکتی | ||
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