آزمون وجود سرایت مالی میان بازار سهام، ارز و سکه طلا در ایران

اقتصاد پولی مالی

مقاله 3، دوره 22، شماره 10، دی 1394   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v22i10.40535

نویسندگان

فیروز فلاحی¹؛ خلیل جهانگیری^{* 2}

¹دانشگاه تبریز

²دانشگاه ارومیه

چکیده

هدف اصلی مطالعه حاضر، آزمون وجود پدیده سرایت مالی میان بازارهای ارز، سهام و سکه طلا است. در این راستا با استفاده از روش همبستگی شرطی پویا (DCC-GARCH) ساختار همبستگی برای داده های روزانه بازدهی نرخ ارز، شاخص بازار سهام و قیمت سکه طلا طی دوره زمانی 07/01/1389 تا 31/06/1392 مورد بررسی قرار گرفته است. نتایج انجام آزمون فرضیه، وجود سرایت مالی بین بازارهای مورد مطالعه با استفاده از آزمون رایج t و آزمون نسبت راست نمایی برای مدل همبستگی شرطی پویا بیانگر این بود که شواهد پدیده سرایت فقط میان بازار ارز و سکه وجود دارد.

کلیدواژه‌ها

سرایت مالی؛ بازار سهام؛ نرخ ارز؛ سکه طلا؛ مدل DCC

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