نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشیار گروه مدیریت بازرگانی، دانشکده اقتصاد، مدیریت و علوم اداری، دانشگاه سمنان، سمنان، ایران
2 دکتری رشته مالی- مهندسی مالی، دانشکده اقتصاد، مدیریت و علوم اداری، دانشگاه سمنان، سمنان، ایران
چکیده
این پژوهش با هدف بررسی اثرات نامتقارن نااطمینانی سیاستهای اقتصادی داخلی (DEPU) و جهانی (GEPU) بر بازدهی شاخص بازار سهام ایران انجام شده است. بدینمنظور از مدل خودرگرسیون با وقفههای توزیعی غیرخطی (NARDL) بهره گرفته شده که امکان تحلیل پویا و تفکیک واکنش بازار به شوکهای مثبت و منفی در افقهای زمانی مختلف را فراهم میکند. نوآوری اصلی این پژوهش در تحلیل همزمان نااطمینانی سیاستهای اقتصادی با منشأ داخلی و جهانی، در چارچوبی غیرخطی و بررسی واکنش نامتقارن بازار سهام نسبت به این نااطمینانیها نهفته است. دادههای مورد استفاده بهصورت فصلی و طی دوره ۱۳۷۶ تا ۱۴۰۳ گردآوری شدهاند. علاوه بر شاخصهای نااطمینانی، متغیرهای کنترلی شامل نرخ ارز، قیمت جهانی نفت، شاخص قیمت مصرفکننده، حجم نقدینگی، تولید ناخالص داخلی حقیقی بدون نفت و نقدشوندگی بازار سهام نیز در مدل لحاظ شدهاند. پیش از برآورد مدل، ویژگیهای آماری دادهها شامل وابستگی غیرخطی، ایستایی، وجود رابطه بلندمدت و تقارن واکنشها بررسی شد تا از صحت بهکارگیری مدل NARDL و اعتبار نتایج اطمینان حاصل شود. نتایج نشان میدهد که شوکهای مثبت و منفی نااطمینانی سیاستهای اقتصادی داخلی بهترتیب اثرات مثبت و منفی معناداری بر بازدهی شاخص بازار سهام در کوتاهمدت و بلندمدت دارند. همچنین، شوکهای نااطمینانی سیاستهای اقتصادی جهانی نیز در کوتاهمدت با وقفه زمانی تأثیرگذار بودهاند بهطوریکه شوک مثبت تأثیر مثبت و شوک منفی تأثیر منفی بر بازده شاخص بازار سهام داشته است. اما در بلندمدت، تنها شوک مثبت نااطمینانی سیاستهای اقتصادی جهانی تأثیر مثبت معناداری بر بازدهی شاخص بازار سهام داشته است. همچنین، متغیرهای کنترلی نیز اثرات معناداری بر بازده شاخص بازار سهام داشتهاند.
کلیدواژهها
- اثرات نامتقارن
- بازدهی شاخص بازارسهام ایران
- نااطمینانی سیاستهای اقتصادی
- مدل خودرگرسیون با وقفههای توزیعی غیرخطی
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