بررسی نوسانات شاخص صنایع غذایی در بحران عمومی (شیوع کووید 19)

نوع مقاله : علمی

نویسندگان

1 دانشجوی کارشناسی ارشد گروه اقتصادکشاورزی دانشگاه علوم کشاورزی و منابع طبیعی ساری

2 استادیار گروه اقتصاد کشاورزی دانشگاه علوم کشاورزی و منابع طبیع ساری

3 دانشیار گروه اقتصادکشاورزی دانشگاه علوم کشاورزی و منابع طبیعی ساری

چکیده

اهداف: اثرات شیوع ویروس کووید-19 بر شرکت‌های زنجیره‌ی تأمین موادغذایی و متعاقباً بورس کالای کشاورزی و صنایع غذایی مشهود است؛ اما، بازده سهام صنایع غذایی و کشاورزی در طول کووید-19 از نظر حساسیت به شوک‌ها، با سایر بخش‌ها تفاوت‌هایی را نشان می‌دهد. این مطالعه، با هدف بررسی نوسانات شاخص صنایع غذایی در مواجهه با امواج شش‌گانه‌ی کووید-19 انجام شده است.
روش مطالعه: در این مطالعه، از داده‌های روزانه‌ بورس اوراق بهادار تهران در بازه‌ی اول فروردین 1397 تا ابتدای سال 1401 استفاده گردید. به منظور بررسی نوسانات شاخص صنایع غذایی از روش باکس-جنکینز و روش‌های ARCH و GARCH بهره برده شد. جهت شناسایی بهترین مدل پیش‌بینی‌کننده شاخص صنایع غذایی، از میان 256 تخمین ممکن با روش تفاضل‌گیری و تکنیک باکس-جنکینز، 20 مدل برتر ارائه شد.
یافته‌ها: معادله بهینه برای پیش‌بینی متغیر شاخص صنایع غذایی سری زمانی (0,1,1) SARIMA (7,1,6) و معادله‌ی بهینه برای پیش‌بینی واریانس ناهمسانی آن GARCH (1,1) است.
نتایج: نتایج بدست آمده از گنجاندن امواج شیوع کووید-19 در معادله‌ی بهینه، نشان داد امواج اول، دوم و سوم شیوع کووید-19 بر نوسانات متغیر شاخص صنایع غذایی تاثیر معنی‌داری دارد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Investigating the fluctuations of the food industry index in the public crisis (COVID-19 epidemic)

نویسندگان [English]

  • Seyedeh Samira Kamalmusavi 1
  • Foad Eshghi 2
  • Mojtaba mojaverian 3
1 Msc. Student, Department of Agricultural Economics, Sari University of Agricultural Sciences and Natural Resources, Sari, Iran.
2 Assistant professor of the agricultural economics department of Sari University of Agricultural
3 Associate professor of the agricultural economics department of Sari University of Agricultural Sciences and Natural Resources, Sari, Iran
چکیده [English]

Objectives: The effects of the spread of the COVID-19 virus on food supply chain companies and subsequently on the agricultural commodity exchange and food industries are evident;, food and agriculture stock returns during COVID-19 show differences from other sectors in terms of sensitivity to shocks. This study was conducted to investigate the fluctuations of the food industry index in the face of the six waves of COVID-19.
Study method: In this study, the daily data of Tehran Stock Exchange was used from the 2018 March 21 to 2022 March 22. Box-Jenkins method and ARCH and GARCH methods were used to investigate the fluctuations of the food industry index. To identify the best predictive model of the food industry index, among the 256 possible estimates, the best 20 models were presented using the differentiation method and Box-Jenkins technique.
Findings: The optimal equation for predicting the time series food industry index variable is SARIMA (7,1,6) (0,1,1) and the optimal equation for predicting its heterogeneity variance is GARCH (1,1).
Results: The results obtained from including the waves of the spread of COVID-19 in the optimal equation showed that the first, second, and third waves of the spread of COVID-19 have a significant effect on the fluctuations of the food industry index variable.

کلیدواژه‌ها [English]

  • Box-Jenkins
  • Tehran Stock Exchange
  • Stock market
  • Heteroscedasticity variance
  • portfolio
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