石油和黄金价格冲击对德黑兰证券交易所的影响：一种Copula方法
The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach
AI总结：
本研究采用ARIMA-Copula模型分析石油和黄金价格对德黑兰证券交易所的影响，发现黄金无直接关系但石油波动显著影响股市，且油价下跌对伊朗经济不利。
摘要：
已有若干研究探讨证券交易所（SEs）的行为及其与不同经济因素之间的关系，这些研究范围从通过计量经济学程序处理该主题的论文，到被称为copula的统计方法。本文考察了石油和黄金价格对德黑兰证券交易所市场（TSE）的影响。石油和黄金是伊朗经济至关重要的两个因素，其价格在全球市场上决定。本研究使用的模型是ARIMA-Copula。我们使用1998年1月至2011年1月的数据作为训练数据以找到合适的模型。模型的交叉验证通过2011年1月至2011年6月的数据进行衡量。我们得出结论：（i）黄金价格与TSE指数之间没有显著的直接关系，但TSE通过其他因素（如石油）间接受到黄金价格的影响；（ii）TSE并非独立于石油价格的波动性，Clayton copula可以描述TSE与石油价格之间的这种依赖结构。基于Clayton copula具有下尾依赖的特性，当石油价格下跌时，股票指数随之下降。这意味着石油价格的下降对伊朗经济产生不利影响。
英文摘要：
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.
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