اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

پویایی ارتباطات و سرریز شوک در بازارهای مالی ایران با تأکید بر نقش صندوق‌های درآمد ثابت

نوع مقاله : مقاله پژوهشی

نویسندگان
1 گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران
2 گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران.
10.22034/efp.2026.2090143.1055
چکیده
این پژوهش با هدف بررسی پویایی سرریز شوک میان بازارهای نفت، طلا، ارز، سهام و صندوق‌های درآمد ثابت در ایران انجام شده است. برای این منظور، از الگوی خودرگرسیون برداری با پارامترهای متغیر در زمان استفاده می‌شود که امکان تحلیل ارتباطات پویا و متغیر در طول زمان را فراهم می‌سازد. برخلاف رویکردهای سنتی که عمدتاً پیوستگی بازارها را به‌صورت کلی یا ایستا بررسی می‌کنند، این پژوهش با تفکیک سرریزها به ارتباط کل، ارتباط همزمان و ارتباط با وقفه، انتقال آنی و تدریجی شوک‌ها را به‌طور جداگانه ارزیابی می‌کند و هم‌زمان نقش صندوق‌های درآمد ثابت را به‌عنوان یکی از ابزارهای مهم مدیریت نقدینگی در کنار بازارهای دیگر وارد شبکه انتقال ریسک می‌کند. نتایج نشان می‌دهد صندوق‌های درآمد ثابت انتقال‌دهنده اصلی شوک در میان دارایی‌های مورد بررسی هستند و از این منظر نقش سیگنال‌دهنده در بازار ایفا می‌کنند. در مقابل، بازار نفت بیشترین میزان دریافت شوک را از سایر بازارها دارد. همچنین، نرخ ارز به دلیل ارتباط خالص کمتر با سایر اجزای شبکه، می‌تواند گزینه‌ای کم‌ریسک‌تر برای متنوع‌سازی پرتفوی تلقی شود.

چکیده تصویری

پویایی ارتباطات و سرریز شوک در بازارهای مالی ایران با تأکید بر نقش صندوق‌های درآمد ثابت
کلیدواژه‌ها

عنوان مقاله English

Dynamics of Connectedness and Shock Spillovers in Iran’s Financial Markets: Emphasizing the Role of Fixed-Income Funds

نویسندگان English

Farzaneh Ahmadian Yazdi 1
Mozhgan Boroomand Taghizadeh Torbati 2
Amirreza Mohammadi 2
1 Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran
2 Department of Economics, Faculty of Administrative and Economic Sciences, Ferdowsi University of Mashhad, Mashhad, Iran.
چکیده English

This study aims to investigate the dynamics of shock spillovers among the oil, gold, foreign exchange, stock, and fixed-income fund markets in Iran. To this end, a Time-Varying Parameter Vector Autoregression (TVP-VAR) model is employed, allowing for an analysis of dynamic and time-varying interrelationships among these markets. Unlike conventional approaches that primarily examine market connectedness from an overall or static perspective, this study decomposes spillovers into total, contemporaneous, and lagged connectedness, thereby enabling the separate assessment of the immediate and gradual transmission of shocks. At the same time, fixed-income funds are incorporated into the risk-transmission network as an important instrument for liquidity management alongside other financial markets. The results indicate that fixed-income funds are the primary transmitters of shocks among the assets under investigation and, from this perspective, play a signaling role in the market. In contrast, the oil market exhibits the highest level of shock reception from other markets. Furthermore, given its relatively lower net connectedness with other components of the network, the foreign exchange market may be regarded as a relatively lower-risk option for portfolio diversification.

کلیدواژه‌ها English

Oil
Stock Market
Energy
Foreign Exchange Market
Abarghouei, V. A., Soretz, S., Ahmadian-Yazdi, F., & Mohammadi, A. (2026). Spatial Investigation of Uncertainty and Ecological Footprint: A Comparative Analysis of Renewable Energy Impacts. Journal of Environmental Assessment Policy and Management, 28(01), 2650001.‏
Aboutorabi, M. A., Ahmadian Yazdi, F., & Parkam, S. (2021). Financial development and natural resource rents–human capital nexus: A new approach. In Economic Growth and Financial Development: Effects of Capital Flight in Emerging Economies (pp. 33-55). Cham: Springer International Publishing.‏
Ahmadian-Yazdi, F., Mensi, W., Al-Yahyaee, K. H., Ramsheh, M., & Al-Kharusi, S. (2025). Connectedness between gold, copper, fossil fuels, and major stock markets: Implications for portfolio management. Resources Policy, 109, 105728.‏
Ahmadian-Yazdi, F., Salimifar, M., & Ahmadi Shadmehri, M. T. (2015). The impact of Trade Liberalization and Economic Growth on Non-Oil Bilateral Trade Flow between Iran and China Over the Period 1981-2012, Economic Growth and Development Research, 5(20), 11-30.
Ahmadian-Yazdi, F., Mensi, W., Namazizadeh, E., & Chenarani, H. (2025). Asymmetric connectedness between currency and stock markets and the portfolio analysis implications: evidence from BRICS economies. Journal of Chinese Economic and Business Studies, 1-40.‏
Ali, S. R. M., Mensi, W., Anik, K. I., Rahman, M., & Kang, S. H. (2022). The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters. Economic Analysis and Policy, 73, 345–372.
Amiri, H., Porjavan, A., & Zahedi, M. (2025). Gold, Foreign Exchange and Bitcoin as Hedge or Safe Haven for Stocks: Evidence from Tehran Stock Exchange (TSE) using Smooth Transition Regression (STR) Models. Quarterly Journal of Quantitative Economics (JQE), 21(4), 220–272.
Ando, T., Greenwood-Nimmo, M., & Shin, Y. (2022). Quantile connectedness: Modelling tail behavior in the topology of financial networks. Management Science, 68(2), 625–647.
Anscombe, F. J., & Glynn, W. J. (1983). Distribution of the kurtosis statistic b 2 for normal samples. Biometrika, 70(1), 227-234.‏
Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International Money and Finance, 30(7), 1387–1405.
Bakas, D., & Triantafyllou, A. (2020). Commodity price volatility and the economic uncertainty ofpandemics. Economics Letters, 193, 109283.
Balli, F., Balli, H. O., Dang, T. H. N., & Gabauer, D. (2023). Contemporaneous and lagged R2 decomposed connectedness approach: new evidence from the energy futures market. Finance Research Letters, 57, 104168.
Batten, J. A., Ciner, C., & Lucey, B. M. (2019). Which precious metals spill over on which, when and why? The case of gold, silver, palladium, and platinum. The World Economy, 42(9), 2696–2722.
Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229.
Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898.
Beckmann, J., & Czudaj, R. (2013). Gold as an inflation hedge in a time-varying coefficient framework. The North American Journal of Economics and Finance, 24, 208–222.
Capie, F., Mills, T. C., & Wood, G. (2005). Gold as a hedge against the dollar. Journal of International Financial Markets, Institutions & Money, 15(4), 343–352.
Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
D'Agostino, R. B. (1970). Transformation to normality of the null distribution of g 1. Biometrika, 679-681.‏
Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66.
Diebold, F. X., & Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1), 119–134.
Ding, Q., Huang, J., & Chen, J. (2021). Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility. Energy Economics, 102, 105514.‏
Elliott, G., Rothenberg, T. J., & Stock, J. H. (1992). Efficient tests for an autoregressive unit root.‏
Fattahi, S., & Nafisi-Moghadam, M. (2023). Do oil sanctions affect the interdependence and integration of financial markets? Heliyon, 9(2).
Filis, G., Degiannakis, S., & Floros, C. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20(3), 152–164.
Ha, L. T., & Thanh, T. T. (2025). Measuring dynamic interlinkages between energy uncertainty, investor sentiment and financial market volatility: Fresh insights from the R2 decomposed linkage method. ENERGY REPORTS, 13, 363–377.
Huang, J., Li, H., Chen, B., Liu, M., An, C., & Xia, X. (2025). Revisiting the Currency-Commodity Nexus: New Insights into the R2 Decomposed Connectedness and the Role of Global Shocks. International Review of Economics & Finance, 103852.
Jamshidi, A., Omidi, V., & Ali Karamzadeh, N. (2024). Examining the Spillover Effect of Coin, Currency, and Stock Market Volatility on Social Unrest in Iran: TVP-QVAR Approach. Quarterly Journal of Quantitative Economics (JQE).‏
Jarque, C. M., & Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics letters, 6(3), 255-259.‏
Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The Journal of Finance, 51(2), 463–491.
Liu, R., Hu, J., Zhang, S., & He, Z. (2024). Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies. The North American Journal of Economics and Finance, 74, 102249.
Madani, M. A., & Ftiti, Z. (2022). Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach. Annals of Operations Research, 313(1), 367400.
Mensi, W., Al Rababa’a, A. R., Vo, X. V., & Kang, S. H. (2021). Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets. Energy Economics, 98, 105262.
Mensi, W., Reboredo, J. C., & Ugolini, A. (2021). Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic. Resources Policy, 73, 102217.
Mensi, W., Yousaf, I., Vo, X. V., & Kang, S. H. (2022). Asymmetric spillover and network connectedness between gold, Brent oil, and EU subsector markets. Journal of International Financial Markets, Institutions & Money, 76, 101487.
Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics, 30(5), 2587–2608.
Reboredo, J. C. (2013). Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance, 37(8), 2665-2676.
Roudari, S. , Farahanifard, S. , Shahabadi, A. and Adeli, O. (2022). Investigating the Time-Frequency Volatility Spillover among Exchange Rate, Inflation, Stocks and Housing Prices in Iran. Journal of Economics and Modelling, 13(2), 65-93.
Roudari, S., Ahmadian-Yazdi, F., Arabi, S. H., & Hammoudeh, S. (2023). Sanctions and Iranian stock market: Does the institutional quality matter? Borsa Istanbul Review, 23(4), 919–935.
Roudari, S., Arabi, S. H., Shahabadi, A., & Adeli, O. (2025). Dynamic Spillover of Risk between Exchange Rates, Stocks, Housing, and Gold Coins in Iran: New Evidence from Comparing Sanction and Non-Sanction Periods. Financial Management Strategy, 13(1), 93–116
Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449–469.
Samadi, A. H., Owjimehr, S., & Halafi, Z. N. (2021). The cross-impact between financial markets, Covid-19 Pandemic, and economic sanctions: The case of Iran. Journal of policy modeling, 43(1), 34-55.‏
Shakeel, M., Rabbani, M. R., Hawaldar, I. T., Chhabra, V., & Zaidi, F. K. (2023). Is there an intraday volatility spillover between exchange rate, gold and crude oil? Journal of Open Innovation: Technology, Market, and Complexity, 9(3), 100094.
Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk, and policy uncertainty nexus in the U.S. economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496.
Singhal, S., Choudhary, S., & Biswal, P. C. (2019). Return and volatility linkages between international crude oil, gold, exchange rate and stock markets: Evidence from Mexico. Resources Policy, 62, 331–341.
Tok, Ş. A., & Tarkun, S. (2025). Dynamic dependence between sectoral indexes of BRIC countries and the Baltic dirty tanker index: An investigation using the generalized R2 approach. Borsa Istanbul Review, 25(2), 265–274.
Xu, L., Ma, X., Qu, F., & Wang, L.(2023). Risk connectedness between crude oil, gold and exchange rates in China: Implications of the COVID-19 pandemic. Resources Policy, 83, 103691.
Zhu, B., & Woltering, R. O. (2021). Is fund performance driven by flows into connected funds? spillover effects in the mutual fund industry. Journal of economics and finance, 45(3), 544-571.