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سرریز نوسانات در دوران بحران کوید 19: مقایسه تطبیقی بین ابزارهای مالی اسلامی و متعارف | ||
| پژوهشنامه اقتصاد کلان Macroeconomics Research Letter | ||
| مقاله 5، دوره 19، شماره 43، آبان 1403، صفحه 125-148 اصل مقاله (616.48 K) | ||
| نوع مقاله: علمی | ||
| شناسه دیجیتال (DOI): 10.22080/mrl.2024.27627.2108 | ||
| نویسندگان | ||
| دکتر محمد تقی گیلک حکیم آبادی* 1؛ منیره حامدی رستمی2؛ علیرضا پورفرج3؛ سعید راسخی4 | ||
| 1دانشگاه مازندران | ||
| 2دانشجوی دکتری اقتصاد اسلامی، گروه اقتصاد، دانشکده علوم اقتصادی و اداری ، دانشگاه مازندران، بابلسر، ایران | ||
| 3گروه اقتصاد، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، مازندران،بابلسر، ایران | ||
| 4گروه اقتصاد، اقتصاد بین الملل، دانشکده علوم اقتصادی و اداری، دانشگاه مازندران، مازندران،بابلسر، ایران. | ||
| تاریخ دریافت: 29 مرداد 1403، تاریخ بازنگری: 29 مهر 1403، تاریخ پذیرش: 09 آبان 1403 | ||
| چکیده | ||
| در سالهای اخیر با تسریع در روند جهانی شدن و یکپارچگی بازارها، ارتباط میان بازارها به خصوص بازارهای مالی شدت گرفته است به طور‌ی‌که سرریز نوسانات در بازارهای مالی در زمان بحران، دغدغه بسیاری از سرمایه‌گذاران شده است. این موضوع موحب شده، سرمایه‌گذاران برای مدیریت ریسک و انتخاب سبد بهینه دارایی‌ها، بررسی نوسانات، بازده دارایی‌ها و سرریز نوسانات را بیش از پیش اهمیت دهند. در این پژوهش، شدت تأثیرپذیری دارایی‌های مالی بویژه بازارهای سهام اسلامی و سهام متعارف از یکدیگر در قبل و بعد از بحران کوید 19، با استفاده از داده‌های قیمت نفت، طلا، سهام اسلامی و سهام متعارف و مدل VRMA-BEKK-AGARCH برآورد گردید. نتایج نشان‌دهنده افزایش نسبی میزان سرریز تلاطم و شوک‌ها در دوره بعد از کوید 19 نسبت به دوره قبل آن می‌باشد. نتایج همچنین حاکی از سرریز متقابل و دوطرفه شوک و تلاطم بین تمامی شاخص‌های مورد بررسی در دوره نمونه بعد از کرونا می‌باشد. گرچه بازده صکوک در طول دوره کامل و دو دوره فرعی به طور قابل توجهی نسبت به همتای متعارف خود نوسان کمتری داشته است؛ اما شاخص سهام اسلامی (صکوک) همانند اوراق قرضه متعارف از سرریز نوسانات در بحران کوید 19 تأثیر پذیرفته و تفاوت قابل ملاحظه‌ای در سرریز بین دو بازار در دوره‌های مورد بررسی مشاهده نشده است. | ||
| کلیدواژه‌ها | ||
| سرریز نوسان؛ کوید 19؛ سهام اسلامی و متعارف؛ پناهگاه امن؛ مدل BEKK-GARC | ||
| عنوان مقاله [English] | ||
| Volatility Spillover during the Covid-19 Crisis: A Comparative Comparison between Islamic and Conventional Financial Instruments | ||
| نویسندگان [English] | ||
| Dr. Mohammad Taghi Gilak Hakim Abadi1؛ Monire Hamedi Rostami2؛ Alireza Pourfaraj3؛ Saeed Rasekhi4 | ||
| 1University of Mazandaran | ||
| 2PhD student of Islamic economics, Faculty of Economic and Administrative Sciences, University of Mazandaran, Mazandaran, Iran.Babosar,Mazandaran,Iran. | ||
| 3, Department of Economics, Faculty of Economic and Administrative Sciences, University of Mazandaran, Babolsar,Mazandaran | ||
| 4Economics, Faculty of Economic and Administrative Sciences, University of Mazandaran,Babolsar, Mazandaran, Iran. | ||
| چکیده [English] | ||
| in recent years, as the trend of globalization and integration of markets has accelerated, the relationship between markets, especially financial markets, has intensified, as the spillover of volatility in financial markets in times of crisis has become the concern of many investors. this issue is weighted, investors are more important for risk management and selection of optimal portfolio of assets, checking volatility, return of assets and volatility spillover. in this study, the severity of financial assets, especially Islamic stock markets and conventional stocks, before and after the Covid - 19 crisis was estimated by using oil price data, gold, Islamic stock and conventional stock and VRMA-BEKK-AGARCH model. the results show a relative increase in turbulence and shock spillover in the post Covid - 19 period compared to the previous period. the results also show mutual and mutual shock and turbulence spillover between all indicators in the post - corona sample period. although the return on debt during the whole period and the two sub periods has significantly less volatility than its conventional counterpart, the Islamic stock index (SUKUK) as well as conventional bonds has been affected by the volatility spillover in the Covid - 19 crisis and there has been no difference of debt in the spillover between the two markets in the period under review. | ||
| کلیدواژه‌ها [English] | ||
| volatility spillover, Covid-19, Islamic and conventional stocks, safe haven, BEKK-GARCH model | ||
| مراجع | ||
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