اثر اعلامیه‏ های اجلاس اوپک بر شکل‌گیری حباب در بازار سهام

نوع مقاله : استخراج از رساله دکتری

نویسندگان

1 دانشجوی دکتری علوم اقتصادی، گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران.

2 دانشیار، گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران.

3 استادیار، 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

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  • تاریخ دریافت: 23 خرداد 1403
  • تاریخ بازنگری: 02 آبان 1403
  • تاریخ پذیرش: 02 آبان 1403
  • تاریخ انتشار: 01 مهر 1404

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