پیوندهای پویا میان سهام کشورهای بریک و دارایی‌های مالی جهانی با استفاده از مدل خودبرازشی با وقفه‌ها توزیع‌شده

منظور, ماهک; شال, سانا

doi:10.22059/jcountst.2026.412634.1467

پیوندهای پویا میان سهام کشورهای بریک و دارایی‌های مالی جهانی با استفاده از مدل خودبرازشی با وقفه‌ها توزیع‌شده

نوع مقاله : پژوهشی

نویسندگان

¹ گروه علوم انسانی و مدیریت، مؤسسة فناوری، دانشگاه کشمیر، جامو و کشمیر، سرینگر، هند.

² گروه مطالعات مدیریت، دانشگاه کشمیر، سرینگر، هند.

10.22059/jcountst.2026.412634.1467

چکیده

در این پژوهش، پیوندهای پویا میان بازارهای سهام کشورهای عضو بریک (برزیل، روسیه، هند و چین) و دارایی‌های مالی مهم جهانی (طلا، بیت‌کوین، اوراق قرضة خزانه‌‌داری ایالات متحده و شاخص نوسان‌پذیری (VIX) CBOE بررسی شد. در مدت آشفتگی مالی، سرمایه‌گذاران اغلب سرمایه‌گذاری‌های خود را به‌سمت دارایی‌های امن هدایت می‌کنند. پژوهش‌های تجربی دربارة پیوندهای پویای این متغیرها با بازارهای سهام کشورهای بریک محدود است. در این پژوهش، با استفاده از داده‌های ثانویه از سال 2015 تا 2025م، در چارچوب خودبرازشی با وقفة توزیع‌شده (ARDL)، این شکاف بررسی شد تا پویایی‌های کوتاه‌مدت و بلندمدت بین شاخص MSCI بریک (BRIC متغیر وابسته) و دارایی‌های جهانی (بیت‌کوین، شاخص نوسان‌پذیری، طلا و اوراق قرضه؛ متغیرهای توضیحی) بررسی شد. نتایج حاکی از آن است که رابطة هم‌جمعی بلندمدت بین متغیرهای وابسته (BRIC) و توضیحی برقرار است. شاخص نوسان‌پذیری بر شاخص‌های سهام کشورهای بریک در کوتاه‌مدت و بلندمدت تأثیر منفی دارد. اوراق قرضة خزانه‌داری ایالات متحده نیز رابطة منفی بلندمدتی را نشان داد که با رفتار فرار به‌سمت دارایی‌های امن سازگار است. برعکس، طلا، تأثیر مثبت بلندمدت و چشمگیری دارد، به‌طوری‌که هم طلا و هم اوراق قرضه تأثیر مثبت کوتاه‌مدت نشان می‌دهند. این یافته‌ها اهمیت سبد سرمایة متعادل، توانایی‌های پوشش خطر طلا و نقش تثبیت‌کنندة اوراق قرضه را در مدیریت خطر در بازارهای نوظهور برجسته می‌کند.

کلیدواژه‌ها

موضوعات

اقتصاد

حوزة موضوعی: کشورهای عضو بریکس

Scope: BRICS

مراجع

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