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Robust Estimation in Nonlinear Modeling of Volatility Transmission in Stock Market | ||
Advances in Industrial Engineering | ||
مقاله 2، دوره 50، شماره 2، دی 2016، صفحه 165-176 اصل مقاله (698.16 K) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22059/jieng.2016.60722 | ||
نویسنده | ||
Seyed Babak Ebrahimi* | ||
Department of Industrial Engineering, K.N.Toosi University of Technology, Tehran, Iran | ||
چکیده | ||
Volatility transmission means the connection between different markets in a way that volatility can be transmitted from one market to another. The volatility of oil price in global markets is one of the factors which influence the capital markets of the countries of which their economy is based on oil revenues. Most of these markets have long-run memory characteristic which should be considered in modeling and estimation. In this paper the long memory effect in BEKK model which is one of the main Multivariate models of volatility spillover is considered and the Boudt & Croux (2010) approache is used for stable estimation of the model. The data used in this paper are daily returns of stock prices and oil prices in time interval December 2006 to January 2012. The paper investigate the influence of world oil price index on Dubai and Tehran stock markets in the strategic region of Middle East and also the mutual transmission between the two main trading partner of Iran and Emirates. The results indicate the volatility transmission from world oil market to Dubai and Tehran markets and also the transmission from Dubai market to Tehran market. | ||
کلیدواژهها | ||
Long memory؛ pricing؛ Return؛ Robust estimation؛ Volatility transmission | ||
عنوان مقاله [English] | ||
رویکرد تخمین پایدار در مدلسازی غیرخطی سرایت تلاطم در بازار سهام | ||
نویسندگان [English] | ||
سید بابک ابراهیمی | ||
استادیار دانشکدة مهندسی صنایع، دانشگاه صنعتی خواجهنصیرالدین طوسی | ||
چکیده [English] | ||
سرایت تلاطم بهمعنی ارتباط میان بازارهای مختلف است، بهگونهایکه تلاطم از یک بازار به بازار دیگر منتقل شود. تلاطم قیمت نفت در بازارهای جهانی از جمله عواملی است که بر بازار سرمایة کشورهای دارای اقتصاد مبتنیبر درآمدهای نفتی تأثیر میگذارد. بیشتر این بازارها ویژگی حافظة بلندمدت نیز دارند که باید در مدلسازی و تخمینها لحاظ شود. در این پژوهش، ویژگی حافظة بلندمدت در مدل BEKK لحاظ شد که یکی از اصلیترین مدلهای چندمتغیرة سرایت تلاطم است و همچنین از رویکرد بوآد و کروکس (2010) برای تخمین پایدار مدل استفاده شد. دادههای بهکاررفته در تحقیق حاضر شامل بازده روزانة قیمت سهام و قیمت نفت در دورة زمانی دسامبر سال 2006 تا ژانویة سال 2012 میشود. نتایج تأثیرپذیری بازارهای سهام تهران و دبی از شاخص قیمت جهانی نفت در منطقة راهبردی خاورمیانه و همچنین سرایت متقابل بازار سهام دو شریک اصلی تجاری یعنی ایران و امارت واکاوی شده است و سرایت تلاطم از بازار جهانی نفت به بازار دبی و بازار تهران و همچنین سرایت تلاطم از بازار دبی به تهران تأیید شده است. | ||
کلیدواژهها [English] | ||
بازده, تخمین پایدار, حافظة بلندمدت, سرایت تلاطم, قیمتگذاری | ||
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