تحلیل ترکیبی وابستگی پویا و غیرخطی بین نوسانات بازار مسکن و بازده شرکت‌های ساختمانی

نویسندگان
سعید کیانپور 1
رضا شمس اللهی 2
جعفر زرین 3
1 استادیار گروه اقتصاد، دانشگاه پیام نور، تهران، ایران.
2 علوم اقتصادی، دانشگاه رازی، کرمانشاه، ایران
3 انشگاه پیام نور، تهران، ایران
چکیده
هدف:

هدف این پژوهش به بررسی وابستگی پویا و غیرخطی بین نوسانات بازار مسکن و بازده شرکت‌های ساختمانی در بورس اوراق بهادار تهران است.

روش:

داده‌های مورد استفاده شامل بازده خدمات ساختمانی، بازده قیمت زمین، تورم، بازده نرخ ارز، بازده شاخص بورس، بازده تولید صنعتی و بازده اجاره در بازه زمانی 1370 تا 1402 با استفاده ازT-GARCH،Copula-GARCH وDCC-GARCH است.

یافته‌ها:

نتایج نشان‌دهنده وجود وابستگی‌های قوی و غیرخطی بین بازده خدمات ساختمانی و متغیرهای بازار مسکن، به‌ویژه بازده قیمت زمین و اجاره، است. مدل T- GARCH تأیید کرد که شوک‌های گذشته تأثیر قابل‌توجهی بر نوسانات فعلی دارند. مدل Copula-GARCH وابستگی‌های غیرخطی را با ضریب همبستگی متوسط 0.31 تأیید کرد، در حالی که تحلیل همبستگی رولینگ در مدل DCC-GARCH نشان‌دهنده تغییرات پویا در وابستگی‌ها در دوره‌های مختلف اقتصادی بود. همبستگی‌های کندال تائو در دوره‌های رونق (0.928) و رکود (0.923) نیز تفاوت اندک اما معنادار در شدت وابستگی‌ها را نشان داد. تحلیل حساسیت نشان داد که تغییرات در تولید صنعتی تأثیر قابل‌توجهی بر بازده خدمات ساختمانی دارد.

نتیجه‌گیری:

این یافته‌ها برای سرمایه‌گذاران و سیاست‌گذاران در مدیریت ریسک و تنظیم سیاست‌های اقتصادی در بازار مسکن ایران کاربرد دارد.
کلیدواژه‌ها
بازار مسکن شرکت‌های ساختمانی وابستگی پویا

عنوان مقاله English

Combined Analysis of Dynamic and Nonlinear Dependence between Housing Market Volatility and Construction Firms

نویسندگان English

SAEED KIANPOOR 1
Reza shamsollahi 2
Jafar zarin 3
1 Assistant Professor, Department of Economics, Payame Noor University (PNU), Tehran, Iran.
2 Faculty of Humanities, razi University, kermanshah, Iran.
3 Assistant Professor, Department of Accounting, Payam Noor University, Tehran, Iran
چکیده English

Objective: The aim of this research is to investigate the dynamic and nonlinear dependence between housing market fluctuations and the returns of construction companies on the Tehran Stock Exchange.


Materials and Methods: The data used include construction service returns, land price returns, inflation, exchange rate returns, stock index returns, industrial production returns, and rental returns in the period 1991 to 2023 using T-GARCH, Copula-GARCH, and DCC-GARCH.
Results: The results indicate the existence of strong and nonlinear dependencies between the returns of construction services and housing market variables, especially the returns of land prices and rents. The T-GARCH model showed a high fit (R-squared=0.969) and confirmed that past shocks have a significant impact on current fluctuations. The Copula-GARCH model confirmed the nonlinear dependencies with an average correlation coefficient of 0.31, while the rolling correlation analysis in the DCC-GARCH model indicated dynamic changes in dependencies in different economic periods. The Kendall-Tao correlations in boom (0.928) and recession (0.923) periods also showed a small but significant difference in the intensity of dependencies. The sensitivity analysis showed that changes in industrial production have a significant impact on the returns of construction services.

Conclusion: These findings are useful for investors and policymakers in risk management and setting economic policies in the Iranian housing market.

کلیدواژه‌ها English

Housing Market
Construction Companies
Dynamic Dependency
Nonlinear Dependency
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