نویسندگان
چکیده
مقاله حاضر با استفاده از مقادیر روزانه شاخص قیمت بورس اوراق بهادار تهران (TEPIX) مشتمل بر 2743 مشاهده که دوره زمانی 25 مارس 2011 تا 25 جولای 2012 را پوشش می دهند، عدم تقارن در تلاطم بازدهی بازار سهام ایران را بررسی می کند. برای این منظور، دو دسته آزمون به کار گرفته شده است: دسته اول مبتنی بر پسماندهای به دست آمده از یک مدل GARCH(1,1) متقارن است. دسته دوم نیز مبتنی بر مدلهای GARCH نامتقارن مشتمل بر EGARCH(1,1)، GJR-GARCH(1,1) و APARCH(1,1) است. برای لحاظ کردن این حقیقت آشکار شده که سریهای بازدهی دارای توزیع دم کلفت هستند، علاوه بر فرض گوسی بودن کلاسیک، همچنین فرض شده است که اجزاء اخلال دارای توزیع تی-استیودنت (t-student) و توزیع خطای تعمیمیافته (GED) هستند. نتایج نشان می دهند که هیجگونه شواهدی دال بر وجود اثرات اهرمی در بازار سهام ایران وجود ندارد؛ بدین معنا که شوکهای منفی و مثبت با مقادیر یکسان اثرات یکسانی بر سطح تلاطم آتی دارند. این نتیجه با نتایج اکثر مطالعات تجربی که در آنها عدم تقارن در تلاطم بازدهی سهام تشخیص داده شده است، مغایرت دارد. به نظر می رسد این یافته ناشی از ماهیت دولتی و شبه دولتی تعداد زیادی از شرکتهای پذیرفته شده در بورس اوراق بهادار تهران و نیز محدودیتهای زیرساختی باشد.
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