ﻃﺮاﺣﯽ ﻣﺪﻟﯽ ﺑﺮاي ﺳﻨﺠﺶ ﭘﻮﯾﺎﯾﯽ ارﺗﺒﺎﻃﺎت ﺗﻼﻃﻤﺎت ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان و ﺑﺎزارﻫﺎي ﺟﻬﺎﻧﯽ

Design a Model for Measuring the Dynamics Volatility Connectedness of Tehran Stock Exchange and Global Markets

ﻫﺪف اﯾﻦ ﻣﻘﺎﻟﻪ اﻧﺪازه ﮔﯿﺮي ﭘﻮﯾﺎﯾﯽ ارﺗﺒﺎﻃﺎت ﺑﺎزار ﺗﻬﺮان ﺑﺎ ﺑﻮرس ﻫﺎي اوراق ﺑﻬﺎدار ﮐﺸﻮرﻫﺎي ﻣﻨﺘﺨﺐ ﺧﺎورﻣﯿﺎﻧﻪ و ﭼﯿﻦ، ﺑﺎزارﻫﺎي ﻧﻔﺖ و ﻃﻼ، ﺷﺎﺧﺺ دﻻر و ﺟﻔﺖ ارزﻫﺎي ﯾﻮرو- دﻻر و ﯾﻮان- دﻻر اﺳﺖ. ﺑﺪﯾﻦ ﻣﻨﻈﻮر، از روﯾﮑﺮد ﺗﺠﺰﯾﻪ وارﯾﺎﻧﺲ ﺑﺮاي اﻧﺪازه ﮔﯿﺮي ارﺗﺒﺎﻃﺎت ﺗﻼﻃﻤﺎت ﻃﯽ دوره 2008 - 2019 اﺳﺘﻔﺎده ﺷﺪه اﺳﺖ. ﯾﺎﻓﺘﻪ ﻫﺎ ﻧﺸﺎن داد وارﯾﺎﻧﺲ ﺧﻄﺎي ﭘﯿﺶ ﺑﯿﻨﯽ ﺑﯿﺶ ﺗﺮ ﺑﺎزارﻫﺎ ﻧﺎﺷﯽ از ﺷﻮك ﻫﺎي ﺧﻮد آن ﺑﺎزارﻫﺎ ﺑﻮده اﺳﺖ. ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ارﺗﺒﺎﻃﺎت ﮐﻤﯽ ﺑﺎ ﺳﺎﯾﺮ ﺑﺎزارﻫﺎ دارد. ﺑﺎ اﻓﺰاﯾﺶ اﻓﻖ زﻣﺎﻧﯽ، ﺗﺄﺛﯿﺮﭘﺬﯾﺮي ﺑﺎزارﻫﺎ از ﯾﮑﺪﯾﮕﺮ اﻓﺰاﯾﺶ ﻣﯽ ﯾﺎﺑﺪ. ﺑﺎزار ﻧﻔﺖ ﺑﺮﻧﺖ ﺑﯿﺶ ﺗﺮ از ﺑﻮرس ﻫﺎي ﮐﺸﻮرﻫﺎي ﻋﺮﺑﯽ و ﺷﺎﻧﮕﻬﺎي ﮐﺎﻣﭙﻮزﯾﺖ ﺗﺄﺛﯿﺮ ﻣﯽ ﭘﺬﯾﺮد. ﺑﺮ اﺳﺎس ﻧﺘﺎﯾﺞ، ﺳﺮﻣﺎﯾﻪ ﮔﺬاري در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان و ﺑﺮاﺑﺮي ﯾﻮان- دﻻر ﺑﻪ دﻟﯿﻞ ﭘﻮﯾﺎﯾﯽ ارﺗﺒﺎﻃﺎت ﮐﻢ ﺑﺎ ﺳﺎﯾﺮ ﺑﺎزارﻫﺎ ﺑﺮاي ﭘﻮﺷﺶ رﯾﺴﮏ ﭘﯿﺸﻨﻬﺎد ﻣﯽ ﺷﻮد.

The aim of this article is to measure the dynamics connectedness of Tehran stock market with stock exchanges of selected countries from the Middle East and China, oil and gold markets, the dollar index and the euro-dollar and yuan-dollar. To this end, a variance decomposition approach has been used to measure connectedness of markets between January 2008 and the end of July 2019. The findings show that the variance of forecast errors in most of markets are due to the shocks of those markets themselves. The Qatari Stock Exchange has a significant impact on Saudi and UAE stock exchanges. As the time horizon increases, Brent's oil market will be more influential than other markets, and this market will be more affected by the stock exchanges of the Arab countries and the Shanghai Composite. According to the results, investing in the Tehran Stock Exchange and the yuan-dollar exchange rate due to insignificant dynamics connectedness with other markets is recommended to hedge risk.