论文标题
石油和黄金价格冲击对德黑兰证券交易所的影响：一种库奶方法
The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach
论文作者
论文摘要
有几项研究涉及SES的行为及其与不同的经济因素的关系。这些范围从通过计量方案处理该主题的论文到称为Copula的统计方法。本文考虑了石油和黄金价格对德黑兰证券交易所市场（TSE）的影响。石油和黄金是对伊朗经济至关重要的两个因素，其价格是在全球市场中确定的。这项研究中使用的模型是Arima-Copula。从1998年1月到2011年1月，我们将数据用作培训数据来找到适当的模型。模型的交叉验证是通过2011年1月至2011年6月的数据来衡量的。我们得出的结论是：（i）黄金价格与TSE指数之间没有显着的直接关系，但是TSE通过其他因素（例如石油）间接影响了金价； （ii）TSE并不独立于石油价格的波动性，而Clayton Copula可以描述TSE和油价之间的这种依赖性结构。根据Clayton Copula的财产，随着油价下跌，股价下跌，股票指数下降。这意味着油价降低会对伊朗经济产生不利影响。
There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Exchange market (TSE). Oil and gold are two factors that are essential for the economy of Iran and their price are determined in the global market. The model used in this study is ARIMA-Copula. We used data from January 1998 to January 2011 as training data to find the appropriate model. The cross validation of model is measured by data from January 2011 to June 2011. We conclude that: (i) there is no significant direct relationship between gold price and the TSE index, but the TSE is indirectly influenced by gold price through other factors such as oil; and (ii) the TSE is not independent of the volatility in oil price and Clayton copula can describe such dependence structure between TSE and the oil price. Based on the property of Clayton copula, which has lower tail dependency, as the oil price drops, stock index falls. This means that decrease in oil price has an adverse effect on Iranian economy.
