عنوان مقاله :
تاثير ويژگي‌هاي صنعت برسرايت ريسك مالي شركت‌هاي پذيرفته شده در بورس اوراق بهادارتهران
عنوان به زبان ديگر :
The Impact of industry's features on financial risk contagion of Companies Listed in Tehran Stock Exchange
پديد آورندگان :
قدمياري، محمد ﭘﮋوﻫﺸﮑﺪه اﻣﻮر اﻗﺘﺼﺎدي - ﮔﺮوه ﺗﺤﻘﯿﻘﺎت ﺑﺎزارﻫﺎي ﻣﺎﻟﯽ , اسلامي مفيدآبادي، حسين داﻧﺸﮕﺎه آزاد اﺳﻼﻣﻲ واﺣﺪ شهريار - گروه حسابداري و مديريت
كليدواژه :
سرايت ريسك , ويژگي‌هاي صنايع , رگرسيون پانل‌پواسن
چكيده فارسي :
ﻫﻤﺒ ﺴﺘﮕﯽ روﻧﺪ ﺣﺮﮐﺖ و ﺑﺎزده ﺑﺎزارﻫﺎ اﻣﺮﯾﻤﻬﻢ در ﻣﺪﯾﺮﯾﺖ رﯾ ﺴﮏ و راﻫﺒﺮدﻫﺎي ﺗ ﺸﮑﯿﻞ ﺳﺒﺪ ﺳﺮﻣﺎﯾﻪﮔﺬاري ا ﺳﺖ. ﺳﺮﻣﺎﯾﻪﮔﺬاراﻧﯽ ﮐﻪ ﺳﻌﯽ در ﻣﺘﻨﻮع ﺳﺎﺧﺘﻦ داراﯾﯽﻫﺎي ﺧﻮد در ﺑﺎزارﻫﺎي ﻣﻨﻄﻘﻪاي دارﻧﺪ ﺑﻪ ارﺗﺒﺎﻃﺎت ﻣﯿﺎن ﺑﺎزارﻫﺎي ﺳـﻬﺎم ﺗﻮﺟﻪ وﯾﮋهاي ﻣﯽﻧﻤﺎﯾﻨﺪ. در اﯾﻦ ﺗﺤﻘﯿﻖ ﺳـﻌﯽ ﺷــﺪه اﺳــﺖ ﮐﻪ اﻧﺘﻘﺎل رﯾﺴــﮏ از ﺑﺨﺶ ﻣﺎﻟﯽ ﺑﻪ ﺳــﺎﯾﺮ ﺑﺨﺶﻫﺎي اﻗﺘﺼــﺎدي و وﯾﮋﮔﯽﻫﺎي ﺧﺎص ﻫﺮﺻــﻨﻌﺖ ﮐﻪ ﻣﻨﺠﺮ ﺑﻪ ﺗﺸــﺪﯾﺪ اﯾﻦ ﭘﺪﯾﺪه ﻣﯽﺷــﻮد، ﺑﺮرﺳــﯽ ﮔﺮدد. ﺑﺪﯾﻦ ﻣﻨﻈﻮر ﭘﺲ از ﻣﻌﺮﻓﯽ ﺷــﺎﺧﺺ ﺟﺪﯾﺪي ﺑﺮاي ﺳــﺮاﯾﺖ رﯾﺴــﮏ ﺑﺎزار ﻣﺎﻟﯽ ﺑﻪ ﺻــﻨﺎﯾﻊ ﻓﻌﺎل در ﺑﻮرس، ﯾﺎ ﺑﻪ ﻋﺒﺎرت دﯾﮕﺮ ﻫﻤﺰﻣﺎﻧﯽ ﺑﺎزدهﻫﺎي ﺣﺪي ﻣﻨﻔﯽ ﺑﯿﻦ ﺑﺎزار و ﺻــﻨﻌﺖ، دادهﻫﺎي 26 ﺻــﻨﻌﺖ ﻓﻌﺎل در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﺑﺮاي دوره1390 ﺗﺎ 1396 از ﻃﺮﯾﻖ ﺗﺨﻤﯿﻦ ﻣﺪل رﮔﺮﺳــﯿﻮن ﭘﻮاﺳــﻦ ﻣﻮرد ﺑﺮرﺳــﯽ ﻗﺮار ﮔﺮﻓﺘﻪ ا ﺳﺖ. ﻧﺘﺎﯾﺞ ﻧ ﺸﺎن ﻣﯽدﻫﺪ ﮐﻪ ﺳﺮاﯾﺖ رﯾ ﺴﮏ در ﻣﯿﺎن ﺻﻨﺎﯾﻌﯽ ﮐﻪ ﺷﺎﺧﺺ ارزش ﻧﺴﺒﯽ ﺑﺎﻻﺗﺮ و ﺳﺮﻣﺎﯾﻪﮔﺬاري ﺑﺎﻻﺗﺮي دارﻧﺪ ﮐﻤﺘﺮ اﺳﺖ. ﻫﻤﭽﻨﯿﻦ، ﺳﺮاﯾﺖ ﺑﺮاي ﺻﻨﺎﯾﻌﯽ ﮐﻪ ﺗﺄﻣﯿﻦ ﻣﺎﻟﯽ را ﺑﯿﺸﺘﺮ از ﻃﺮﯾﻖ ﺑﺪﻫﯽ اﻧﺠﺎم ﻣﯽدﻫﻨﺪ ﺑﯿﺸﺘﺮ اﺗﻔﺎق ﻣﯽاُﻓﺘﺪ.
چكيده لاتين :
The correlation between market movements and returns is an important issue in risk management and investment portfolio strategies. Investors who try to diversify their assets in regional markets pay special attention to communications between financial markets. In this study, we have tried to study the contagion of risk tail from the financial sector to other economic sectors and the specific characteristics of each industry that affect this phenomenon. For this purpose, we introduce a new index for risk tail contagion from financial market to industries or in other words, conditional coexcee dance (CCX) in the TSE. We investigate risk tail contagion between the market and industry, using 26 TSE industries data for the period 2011 to 2017 by estimating the Poisson's regression. The results show that the risk tail contagion is lower among industries that have a higher relative value index and higher investment. Contagion also occurs more for industries that use external debt.
عنوان نشريه :
مدل سازي اقتصاد سنجي
