برآورد شاخص نااطمینانی بیماری کووید-19 و تاثیر آن بر عملکرد سهام شرکت‌های فعال حوزه دارویی بورس اوراق بهادار تهران

نوع مقاله : مقاله مستخرج از رساله دکتری

نویسندگان

1 دانشجوی دکتری اقتصاد سلامت، گروه توسعه و برنامه‌ریزی اقتصادی، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران

2 دانشیار، گروه توسعه و برنامه‌ریزی اقتصادی، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران

10.22034/jepr.2025.142912.1225

چکیده

این پژوهش با دو هدف اصلی انجام شده است: برآورد شاخص نااطمینانی بیماری کووید-۱۹ و بررسی تأثیر این شاخص بر سهام شرکت‌های دارویی بورس اوراق بهادار تهران طی دوره آوریل ۲۰۲۰ تا جولای ۲۰۲۳. برای دستیابی به این اهداف، ابتدا شاخص نااطمینانی کووید-۱۹ با استفاده از مدل گارچ و داده‌های روزانه تعداد مبتلایان، مرگ‌ومیر و دوزهای واکسن برآورد شده است. همچنین، تأثیر این شاخص بر بازار سهام با مدل خودرگرسیون برداری ساختاری (SVAR) تحلیل شده است. نتایج نشان می‌دهد که در مواجهه با نااطمینانی کووید-۱۹، شاخص سهام دارویی ابتدا رشد کرده اما در بلندمدت کاهش می‌یابد. همچنین، شوک‌های نفتی و بیت‌کوین اثر منفی بر شاخص داشته‌اند، در حالی که واکنش به شوک طلا ابتدا منفی و سپس مثبت بوده است. شوک نرخ ارز در کوتاه‌مدت منفی اما در بلندمدت مثبت ارزیابی می‌شود. تحلیل واریانس نشان می‌دهد که شوک نااطمینانی کووید-۱۹ بیش از ۳۲٪ از تغییرات شاخص را در دوره دهم توضیح می‌دهد. علاوه بر این، نرخ ارز در بلندمدت نقش قابل‌توجهی داشته، در حالی که تأثیر شوک‌های نفت، طلا و بیت‌کوین نسبتاً کمتر بوده است. یافته‌ها بر اهمیت بررسی عوامل اقتصادی مکمل در تحلیل نوسانات بازار سهام تأکید دارند.

کلیدواژه‌ها

موضوعات

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  • تاریخ دریافت: 17 دی 1403
  • تاریخ بازنگری: 06 فروردین 1404
  • تاریخ پذیرش: 12 فروردین 1404
  • تاریخ انتشار: 01 تیر 1404

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