مدیریت سبد سرمایه‌گذاری در شرایط خرسی و گاوی: کاربردی از الگوی Asymmetric TVP-VAR در صنایع بزرگ منتخب
فصلنامه بورس اوراق بهادار

فصلنامه بورس اوراق بهادار

مدیریت سبد سرمایه‌گذاری در شرایط خرسی و گاوی: کاربردی از الگوی Asymmetric TVP-VAR در صنایع بزرگ منتخب

نوع مقاله : مقاله پژوهشی

نویسندگان
1 استادیار، گروه حسابداری، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران
2 دکتری اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران
3 کارشناسی ارشد مالی و اقتصاد، دانشگاه میلان، میلان، ایتالیا
4 استادیار، پژوهشکده اقتصاد دانشگاه تربیت مدرس، تهران، ایران
5 کارشناسی ارشد حسابداری، دانشکده علوم اقتصادی و اداری دانشگاه قم، قم، ایران
چکیده
با توجه به ارتباط میان صنایع فعال در بورس اوراق بهادار تهران، تشکیل پرتفولیوی بهینه متشکل از شرکت‌های فعال در این صنایع، مستلزم مطالعه دقیق ارتباط و نحوه اثرگذاری صنایع بر یکدیگر در طول زمان است. هدف پژوهش حاضر بررسی ارتباط میان شش گروه صنعت بزرگ در شرایط گاوی، خرسی و حالت عمومی بازار در طول زمان و تشکیل سبد بهینه با استفاده از معیار حداقل ارتباط، حداقل واریانس و حداقل همبستگی است. هدف پژوهش با استفاده از داده‌های روزانه صنایع مورد بررسی طی دوره 30/6/1392 تا 10/7/1402 و از طریق مدل خودرگرسیون برداری نامتقارن با پارامترهای متغیر در زمان محقق شده است. نتایج حاکی از عدم تقارن ارتباط صنایع در حالت‌های گاوی و خرسی بوده و نحوه و شدت این ارتباط در گذر زمان تغییر یافته است. ضمن افزایش شدت ارتباط در سال‌های اخیر، شدت این ارتباط در شرایط خرسی بیشتر بوده است. صنعت فرآورده‌های نفتی در دو حالت عمومی و گاوی نقش پیشرو بازار را ایفا کرده است و در حالت خرسی صنعت شیمیایی این نقش را داشته است. از طرف دیگر، صنعت خودرو در هر سه حالت مورد بررسی، پذیرنده ریسک بوده است. بررسی ارتباط دو به دو صنایع، حاکی از آن است که نقش صنایع به عنوان ارسال کننده و پذیرنده خالص ریسک به صورت متغیر در زمان بوده است. در این پژوهش، میانگین وزن بهینه صنایع بر اساس هر یک از سه معیار مورد بررسی برآورد شده است. سپس میزان اثربخشی پوشش ریسک هر پرتفوی بهینه و بازده تجمیعی آن مشخص شده است.
کلیدواژه‌ها
موضوعات

عنوان مقاله English

Portfolio Management in Bullish and Bearish Stock Markets: An Application of the Asymmetric TVP-VAR in Selected Larg Industries

نویسندگان English

manizheh ramsheh 1
soheil rudari 2
Mohammad Ershad Emami Alagha 3
Ali Mohammad Ahmadi 4
Mohaddese Yousefi 5
1 Assistant Prof., Department of Accounting, Faculty of Economics and Administrative Sciences, University of Qom, Qom, Iran
2 PhD in Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran
3 Master of Sciene in Finance and Economics, Università degli Studi di Milano, Milan, Italy
4 Assistant Professor, Economic Research Institute, Tarbiat Modares University, Tehran, Iran
5 Master of Sciene in Accounting, Faculty of Economics and Administrative Sciences, University of Qom, Qom, Iran
چکیده English

Given the risk spillovers among sector groups of the Tehran Stock Exchange (TSE), the portfolio optimization necessitates a through examination of the inter-sectoral connectedness and the ways in which industries influence each other. Consequently, this research aims to study the inter-sectoral connectedness among six principal industry groups of the TSE during bull, bear, and general market conditions over time, and to formulate optimal portfolios employing MVP, MCP, and MCoP. This study, which utilizes daily data for the selected industries from September 21, 2013, to October 2, 2023, applies the Asymmetric TVP-VAR model to obtain results. The findings unveil an asymmetric connectedness in bull and bear volatilities, with a heightened intensity of connectedness in bear market. Additionally, the character and intensity of this connectedness have evolved over time, in such a way that this connectedness has intensified over recent years. The Oil industry has played the leading role of the market in two general and bullish states, and the chemical industry has played this role in the bearish state. On the other hand, the automobile industry has been a risk accepter in all three cases. On the other hand, the automotive industry has been a risk accepter in all three cases. Examining the relationship between two industries indicates that the role of industries as net senders and receivers of risk has been variable over time. Furthermore, this research examines the optimal portfolio weights, hedging effectiveness, and the cumulative portfolio return, taking into account the three aforementioned criteria.

کلیدواژه‌ها English

Inter-sector connectedness
Bull market
Bear market
Optimal investment portfolio
MCoP
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