سرایت پویایی توپولوژیکی درشبکه بازار سهام ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 گروه مدیریت مالی، واحد تهران مرکزی، دانشگاه آزاداسلامی، تهران، ایران

2 گروه مدیریت مالی، واحد تهران مرکزی، دانشگاه آزاداسلامی، تهران، ایران .

3 گروه مدیریت مالی، واحد تهران مرکزی، دانشگاه آزاداسلامی، تهران، ایران.

چکیده

سرایت در بازارهای مالی به دلایل پیوندهای بنیادی وغیر بنیادی می توانند سطح ریسک بازارها را افزایش داده و حتی به تخصیص ناکارای منابع مالی منجر شودلذابدلیل اهمیت سرایت برای سرمایه گذاران دراین بازارها، در تحقیق حاضر با استفاده از مدلسازی اپیدمیک مبتنی بر شبکه، پویایی های سرایت در بازار سهام ایران در دوره سالهای 1390 تا 1398 در دو مقیاس کوتاه مدت و بلندمدت مورد تجزیه و تحلیل گرفته است. برای این منظور ابتدا شبکه همبستگی 46 گروه بازار سهام ایران ساخته شده و سپس با استفاده از شبیه سازی پویایی های سرایت در دومقیاس تحلیل شده است. نتایج تحقیق نشان می دهد که وسعت و سرعت انتشار سرایت در کوتاه مدت بسیار بیشتر از بلندمدت است و در بلندمدت تعداد قابل توجهی از گروه ها مصون از سرایت می توانند باشند. اگرچه در بلندمدت سرعت بازگشت به وضعیت قبل از سرایت کمتر از کوتاه مدت است.

کلیدواژه‌ها

عنوان مقاله [English]

Contagious topological dynamics in the Iranian stock market

نویسندگان [English]

  • samad sedaghati 1
  • Ruhollah Farhadi 2
  • Mir Feyz Fallashams 3
1 Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
2 Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
3 Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
چکیده [English]

Contagion in financial markets takes place both because of fundamental or non-fundamental reasons like herd behaviors that can increase market risk levels and even end in inefficient allocation of financial resources. Thus, understanding the contagion and its dynamics will be critical for the participants of financial market. Hence, using network-based epidemic modeling, the study examined the dynamics of contagion in the Iranian stock market from 2011 to 2019 and short-term and long-term scales. To this end, first the correlation network of 46 Iranian stock market groups was developed and then analyzed using short-term and long-term contagion dynamics simulations. The results showed that the extent and speed of contagion is much higher in the short-term than in long-term and in long-term a significant number of groups can be immune to the contagion. However, in long-term the rate of return to pre-contagion status is shorter than in short-term

کلیدواژه‌ها [English]

  • financial contagion
  • epidemic simulation
  • complex networks
  • stock market

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