بررسی ریسک قراردادهای پسته فندقی در بازار بورس کالای ایران

مجله اقتصاد و توسعه کشاورزی

مقاله 3، دوره 38، شماره 4 - شماره پیاپی 65، دی 1403، صفحه 411-393   

نوع مقاله: مقالات پژوهشی به زبان انگلیسی

شناسه دیجیتال (DOI): 10.22067/jead.2024.89445.1289

نویسندگان

سهراب صدفی‎آبکنار¹؛ امیرحسین چیذری^{* 2، 1}؛ حامد رفیعی¹؛ حبیب الله سلامی¹

¹گروه اقتصاد کشاورزی، دانشکدگان کشاورزی و منابع طبیعی، دانشگاه تهران، کرج، ایران

²گروه اقتصاد کاربردی، دانشگاه جان هاپگین، بال‎تیمور، ماری‎لند، ایالات متحده امریکا

چکیده

این مطالعه بر روی پوشش ریسک پسته فندقی با استفاده از قراردادهای آتی و سپرده سرمایه‌گذاری تمرکز دارد و تغییرات ریسک و انتخاب پرتفوی بهینه را از 27 مهرماه 1397 تا 28 دی‎ماه 1400 بررسی می‎کند. با استفاده از نظریه سبد کالایی مارکویتز، این مطالعه از مدل‎های اقتصادسنجی مختلفی از جمله تحلیل رگرسیون، مدل‌های GARCH و آزمون ریشه واحد فصلی برای تعیین سبد کالایی بهینه جهت پوشش ریسک استفاده می‎کند. نتایج کلیدی شامل نوسانات فصلی معنادار در فرکانس‎های مختلف است که نشان‎دهنده الگوهای فصلی قوی و پایدار است. تحلیل رگرسیون روابط معناداری بین بازده‎های گذشته و کنونی را نشان می‎دهد که تأثیر بازده‎های گذشته بر عملکرد کنونی را برجسته می‎کند. مدل‌های GARCH ضرایب مثبت معناداری برای اثرات شوک و وقفه‎های واریانس نشان می‎دهند که به معنای تأثیرات قابل توجه شوک‎ها و اثرات خودرگرسیونی قوی نوسانات گذشته بر نوسانات کنونی است. نسبت بهینه قراردادهای سپرده کالایی پسته فندقی بر اساس فصل و روز متغیر است که تقاضای بازار و ترجیحات سرمایه‎گذاران را منعکس می‎کند. این مطالعه چندین پیشنهاد سیاستی ارائه می‎دهد که عبارتند از؛ تقویت و مدیریت نوسانات فصلی از طریق مشتقات مالی، حمایت از ابزارهای پوشش ریسک، توجه به الگوهای فصلی و روزانه در ترکیب سبد کالایی، پایش و کنترل نوسانات در دوره‎های حساس و توسعه سیاست‎های حمایتی در ماه‎های کم نوسان. این پیشنهادها هدف دارند عملکرد بازار پسته فندقی را بهبود بخشیده و کارایی تصمیم‎گیری‎های سرمایه‎گذاری را افزایش دهند.

کلیدواژه‌ها

رفتار فصلی داده‌ها؛ سبد بهینه کالایی؛ نسبت بهینه پوشش ریسک

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