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اثر اعلامیه های اجلاس اوپک بر شکلگیری حباب در بازار سهام | ||
سیاست ها و تحقیقات اقتصادی | ||
مقاله 2، دوره 4، شماره 3 - شماره پیاپی 15، مهر 1404، صفحه 31-56 اصل مقاله (1.23 M) | ||
نوع مقاله: استخراج از رساله دکتری | ||
شناسه دیجیتال (DOI): 10.22034/jepr.2024.141517.1131 | ||
نویسندگان | ||
مریم پورصالحی1؛ مهرزاد ابراهیمی* 2؛ هاشم زارع2؛ جلیل خداپرست شیرازی3 | ||
1دانشجوی دکتری علوم اقتصادی، گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران. | ||
2دانشیار، گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران. | ||
3استادیار، گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران. | ||
چکیده | ||
انگیزه مطالعه حاضر طراحی یک الگوی هشدار زودهنگام با هدف بررسی اثر اعلامیههای اجلاس اوپک بر شکلگیری حباب در بازار سهام ایران است. در این راستا، جهت شناسایی حبابها در بازار سهام طی دوره زمانی 11-1:1401-1390، از آزمون قوی ریشه واحد سوپریمم دیکی- فولر تعمیمیافته استفاده گردید. پس از شناسایی دورههای حبابی بازار سهام ایران، با استفاده از الگوی رگرسیون پروبیت یک الگوی پیشبینیکننده دورههای حبابی در این بازار طراحی شد. نتایج نشان داد که الگوی هشدار زودهنگام طراحی شده دقت 94 درصدی در پیشبینی دورههای حبابی بازار سهام ایران را دارد. همچنین اعلامیههای اجلاس اوپک مبنی بر کاهش سطح تولید با کاهش احتمال شکلگیری حباب قیمتی و اعلامیههای حفظ تولید با افزایش احتمال شکلگیری حباب قیمتی همراه هستند. اعلامیه حفظ سطح تولید اوپک، با ایجاد انتظارات خوشبینانه، ارزش انتظاری آتی سهام را بیش از آنچه فاکتورهای بنیادی اقتصاد منعکس میکنند تعیین، و احتمال شکلگیری حباب قیمتی را افزایش میدهد. نظر به نتایج حاصل از اجرای آزمون، بازار سهام ایران بهطور معناداری تحت تأثیر اعلامیههای اجلاس اوپک است. | ||
کلیدواژهها | ||
حباب بازار سهام؛ آزمون قوی ریشه واحد سوپریمم دیکی- فولر تعمیم&rlm؛ یافته؛ اعلامیههای اجلاس اوپک؛ رگرسیون پروبیت | ||
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