چکیده:
ایران از جمله صادرکنندگان بزرگ نفت در جهان است که وابستگی زیادی به درآمدهای نفتی دارد. بنابراین اقتصاد ایران تحت تاثیر شوک های قیمت نفت قرار می گیرد که این شوک ها نفت می تواند بخش های مختلف اقتصاد ایران از جمله بازار بورس اوراق بهادار را تحت تاثیر قرار دهد. با توجه به اهمیت تغییرات قیمت نفت برای اقتصاد ایران، هدف این مقاله بررسی آثار نامتقارن شوک های قیمت نفت بر شاخص قیمت سهام بورس اوراق بهادار ایران است. در این تحقیق رابطه بین قیمت نفت و تغییرات آن با شاخص کل قیمت سهام بورس اوراق بهادار ایران در دوره زمانی تیر ماه 1379 تا آذر ماه 1389 بررسی شده و برای این منظور از روش خودرگرسیون برداری VAR ، توابع واکنش به ضربه و تجزیه واریانس خطای پیش بینی با سه متغیر کنترل نقدینگی، شاخص قیمت مسکن و قیمت سکه استفاده شد. بررسی آثار نامتقارن نوسانات قیمت نفت بر شاخص قیمت سهام نیز با استفاده از تعاریف مورک (1989) و همیلتون (1996) نشان دهنده این است که نوسانات قیمت نفت آثار نامتقارن بر شاخص قیمت سهام دارد و در هر دو تعریف، کاهش قیمت نفت نسبت به افزایش قیمت نفت، سهم بیشتری را در توضیح واریانس خطای پیش بینی شاخص کل قیمت سهام بورس اوراق بهادار تهران دارد.
The oil price rise and fall forms one of the serious factors that really affect consumers، producers and Markets especially in terms of costs، trading strategies and incentives to launch new investment in technology or reorganize former ones. In the literature، there are many studies on the effects of oil price shocks on economic activity. Recently، the relationship between oil price and stock returns has come to the forefront of public attention and this probably because of the fact that Crude oil prices have been showing an exceptional volatility which has led to an increase in uncertainty of the energy sector، the whole economy as well as the financial markets. Despite the significant body of research has examined the effect of oil price shocks on stock market in oil importing countries، only a few researchers focused their attention on exploring how changes in oil prices influence the stock market in oil producing countries. The effect of oil price shocks on the stock market is a meaningful and useful measure of their economic impact. Since asset prices are the present discounted value of the future net earnings of firms، both the current and the expected future impacts of an oil price shock should be absorbed fairly quickly into stock prices and returns، without having to wait for those impacts to actually occur. In other side، large literature has reported that oil price fluctuations have an asymmetric impact on the macroeconomy. That is، while oil price spikes lead to reduced outputs، oil price drops do not necessarily lead to an increase in output. Iran’s economy is highly dependent to oil revenues such as other oil exporting countries، so that Iran’s economy and also stock market can affected by oil price shocks. With regarding importance of oil price changes on Iran economy، the aim of this study is to investigate the asymmetric impacts of oil price shocks on Tehran Exchange Price Index (TEPIX).
In this study، the relationship between oil price shocks and TEPIX from 2000:6 to 2010:11 have been investigated. For this aim، the mothod of vector autoregressive regression (VAR)، impulse response function and variance decomposition with three control variables of liquidity، constraction price index and gold price have been used. For investigating the asymmetric effect of oil price shock، we use Mork (1989) and Hamilton (1996) approach. Mork (1989) proposes an asymmetric definition of oil prices، which distinguishes between positive and negative changes، which have been defined as follows:
Real oil price increase: doilt(+) = max [0، doilt]
Real oil price decrease: doilt(-) = min [0، doilt]
Hamilton (1996) proposed the concept of net oil price increase/decrease. Net oil price increase (NOPI)، which is the percentage change of the increase of oil price if the price of the current month (t) exceeds the twelve previous months’ maximum. If the price of month (t) is lower than it had been at some point during the previous twelve months، the series is defined to be zero for period (t). So:
NOPIt = max [0، oilt – max (oilt-1، oilt-2، oilt-3……oilt-12]
Similarly، net oil price decrease (NOPD) can be defined as:
NOPDt = min [0، oilt – min (oilt-1، oilt-2، oilt-3……oilt-12)]
The investigation of the asymmetric effects of oil price shocks on TEPIX by Mork (1989) and Hamilton’s approach revealed that oil price shocks have asymmetric impacts on TEPIX and in both approaches، oil price decrease has greater share in explanation of forcasting error variance of TEPIX respect to oil price increase. The result of Impulse response function showed that، effect of one standard deviation shock in oil price increase variables، is positivein primary period and ofter that convergence to zero. The results also show that one standard deviation shock in oil price decrease has positive effect on TEPIX. Forcasting error variance de-composition of TEPIX showed that in all period، oil price increase after the TEPIX has the largest share in explanation of TEPIX’s forcasting error variance that it is increasing by the time. One standard deviation shock in oil price changes has positive impact on TEPIX that it is not constant during the time. The explanation of the positive connections between oil price shocks and the stock returns and the positive effects on the volatility is intuitive. Since oil export is a substantial source of GDP in Iran، the increase in oil price leads to economic growth by creating significant higher oil revenue. Consequently a rise in oil prices effect on expectation and this affects seriously the stock price.
خلاصه ماشینی:
در اين تحقيق رابطه بين قيمت نفت و تغييرات آن با شاخص کل قيمت سهام بـورس اوراق بهـادار ايـران در دوره زماني تير ماه ١٣٧٩ تا آذر ماه ١٣٨٩ بررسي شده و براي ايـن منظـور از روش خودرگرسـيون بـرداري VAR ، توابع واکنش به ضربه و تجزيه واريانس خطاي پيش بينـي بـا سـه متغيـر کنتـرل نقـدينگي ، شـاخص قيمت مسکن و قيمت سکه استفاده شد.
(Motafaker Azad and Rezazadeh, 2009 در تحقيقات پيشين تلاش زيادي بـراي بررسـي اثـر تغييـرات قيمـت نفـت بـر متغيرهـاي کـلان اقتصادي هم چون نرخ رشد اقتصادي، تورم ، اشتغال و نرخ ارز انجام شـده اسـت کـه از ميـان آن هـا ميتوان بـه مقـالات : هميلتـون (١٩٨٣ ,Hamilton)؛ گيسـر و گـودوين ( ,Gisser and Goodwin ١٩٨٣)؛ مـورک (١٩٨٩ ,Mork)؛ هـوکر (١٩٩٦ ,Hooker)؛ ديـويس و هـالتيوانگر ( Davis and ٢٠٠١ ,Haltiwanger)؛ هميلتون و هررا (٢٠٠١ ,Hamilton and Herrera)؛ لي و نـي ( Lee and ٢٠٠٢ ,Ni)؛ هوکر (٢٠٠٢ ,Hooker) و هميلتون (٢٠٠٣ ,Hamilton) اشاره کرد.