برآورد بيزي رابطه ميان تلاطم بازدهي و حجم معاملات شاخص كل بورس اوراق بهادار تهران

Bayesian Estimation of Relationship Between Return Volatility and Stock Trading Volume of Tehran Stock Exchange Index

ﭼﮑﯿﺪه ﭘﮋوﻫﺶ ﺣﺎﺿﺮ ﺑﺎ ﻫﺪف ﺗﻮﺳﻌﻪ ﻣﺪلﺳﺎزي ﺑﯿﺰي ﺗﻼﻃﻢ ﺑﺎزدﻫﯽ و ﺣﺠﻢ ﻣﻌﺎﻣﻼت ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان اﻧﺠﺎم ﭘﺬﯾﺮﻓﺘﻪ اﺳﺖ. ﺑﺮ اﯾﻦ اﺳﺎس، ﺗﻼﻃﻢ ﺑﺎزدﻫﯽ ﺷﺎﺧﺺ ﮐﻞ ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان و ﺣﺠﻢ ﻣﻌﺎﻣﻼت آن، در ﺑﺎزه زﻣﺎﻧﯽ1 اردﯾﺒﻬﺸﺖ 1394 ﺗﺎ 8 اﺳﻔﻨﺪ 1397 ﺑﺎ ﺗﻮاﺗﺮﻫﺎي روزاﻧﻪ، ﻫﻔﺘﮕﯽ و ﻣﺎﻫﺎﻧﻪ ﻣﻮرد ﺑﺮرﺳﯽ ﻗﺮار ﮔﺮﻓﺘﻪ اﺳﺖ. ﯾﺎﻓﺘﻪﻫﺎي ﭘﮋوﻫﺶ ﻧﺸﺎن ﻣﯽدﻫﺪ ﻓﺮض ﻫﻤﺒﺴﺘﮕﯽ ﺷﺮﻃﯽ ﺛﺎﺑﺖ ﻣﺪل CCC ﻣﯿﺎن ﻣﺘﻐﯿﺮﻫﺎ ﻧﻘﺾ ﺷﺪه و ﻣﺸﺎﻫﺪه ﻣﯽﮔﺮدد راﺑﻄﻪ ﻣﻮﺟﻮد از ﻧﻮع ﻫﻤﺒﺴﺘﮕﯽ ﺷﺮﻃﯽ ﭘﻮﯾﺎ ﻣﺪل DCC و ﻣﻨﻔﯽ اﺳﺖ ﮐﻪ دﻻﻟﺖ ﺑﺮ اﯾﻦ واﻗﻌﯿﺖ دارد ﺑﺎ اﻓﺰاﯾﺶ ﺑﺎزده، ﺳﺮﻣﺎﯾﻪﮔﺬاران ﺑﻪ دﻟﯿﻞ ﺧﻮش ﺑﯿﻨﯽ ﺗﻤﺎﯾﻠﯽ ﭼﻨﺪاﻧﯽ ﺑﻪ ﻓﺮوش ﺳﻬﺎم ﺧﻮد ﻧﺪارﻧﺪ و ﺑﺎ ﻋﺪم ﻓﺮوش آن، ﻣﻮﺟﺐ ﮐﺎﻫﺶ ﺣﺠﻢ ﻣﻌﺎﻣﻼت در ﺑﺎزار ﻣﯽﮔﺮدﻧﺪ و ﺑﺮﻋﮑﺲ. از ﺳﻮي دﯾﮕﺮ ﯾﺎﻓﺘﻪﻫﺎي ﭘﮋوﻫﺶ ﻧﺸﺎن ﻣﯽدﻫﺪ در ﻧﻈﺮ ﮔﺮﻓﺘﻦ ﺗﻮزﯾﻊ t اﺳﺘﯿﻮدﻧﺖ ﭼﻮﻟﻪ ﺑﺮاي ﭘﺴﻤﺎﻧﺪﻫﺎ ﺑﺎ دﻣﯽ ﭘﻬﻦﺗﺮ از ﺗﻮزﯾﻊ ﻧﺮﻣﺎل و اﻋﻤﺎل ﭼﻮﻟﮕﯽ، از ﻋﻤﻠﮑﺮد ﺑﻬﺘﺮي ﻧﺴﺒﺖ ﺑﻪ ﺳﺎﯾﺮ ﺗﻮزﯾﻊﻫﺎ ﺑﺮﺧﻮردار است

The purpose of this study was to develop Bayesian modeling of returns volatility and turnover volumes. On this basis, the volatility of the Tehran Stock Exchange index returns and its trading volume have been studied with daily, weekly and monthly frequencies during the period of 21 April 2015 to 27 February 2019. The research findings show that the CCC model assumption of constant conditional correlation between the variables is violated and it is observed that the existing relationship is a dynamic conditional correlation type of DCC model and a negative one which implies that with increasing returns, investors due to optimism is less reluctant to sell their stock and by failing to sell it reduces the volume of transactions in the market and vice versa. On the other hand, the research findings show that considering the skew student t distribution for errors with a wider tail than the normal distribution and skewness application, it has a better performance than the other distributions.