نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشکده علوم ریاضی دانشگاه شهید بهشتی، تهران
2 کارشناس ارشد بیمه، دانشکده اکو دانشگاه علامه طباطبایی، تهران
3 دانشکده اکو دانشگاه علامه طباطبایی، تهران
چکیده
با استفاده از فاکتورهای اقتصادی، تحقیقات زیادی در مورد رفتار بازارهای بورس انجام گرفته است. این عوامل اقتصادی را می‌توان با استفاده از ابزار آماری با نام مفصل به طورهمزمان مورد بررسی قرار داد. مقاله حاضر تاثیر قیمت جهانی نفت و طلا را بر روی شاخص بورس تهران، با استفاده از یک مدل آریما-مفصل، مورد بررسی قرارمی دهد. این مقاله ابتدا با استفاده از اطلاعات دی 1376 الی دی 1389 یک مدل آریما- مفصل به داده‌ها برازش داده، سپس با استفاده از معیار اعتبار متقابل که به کمک داده‌ها دی 1389 الی تیر 1390 محاسبه می شود، مناسب بودن مدل از نظر قدرت پیش بینی مورد سنجش قرار می‌دهد. با استفاده از مدل برازش شده می‌توان نتیجه گرفت: (1) هیچ ارتباط مستقیم معنی داری بین قیمت جهانی طلا و شاخص بورس تهران وجود ندارد، (2) شاخص بورس تهران مستقل از قیمت جهانی نفت نبوده، بلکه با توجه به مفصل کلایتون می توان همبستگی کمی در دم‌ها را نتیجه گرفت. به عبارت دیگر کاهش قیمت نفت تاثیر معکوس بر روی شاخص بورس تهران و اقتصاد ایران می‌گذارد.
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