مقایسه روش‌های پارامتریک و شبه پارامتریک برای ارزیابی ریسک سرمایه‌گذاری در بازار سهام: مطالعه موردی شاخص‌های اصلی بورس تهران

نوع مقاله : مقاله پژوهشی

نویسنده

استادیار اقتصاد، گروه علوم اقتصادی و اجتماعی، دانشگاه بوعلی سینا، مجتمع آموزش عالی نهاوند(ویژه دختران)، همدان، ایران

چکیده

این مقاله به‌دنبال ارزیابی ریسک شاخص‌های اصلی بورس‌تهران ازطریق معرفی یک رویکرد نیمه‌ناپارامتریک است، و عملکرد آن با رویکردهای‌پارامتریک مختلف برحسب تکنیک‌های بک‌تست و معیارهای مختلف ریسک شامل ارزش‌درمعرض‌ریسک، ریزش‌موردانتظار و ریزش‌میانه، آزمون می‌شود. همچنین، از ریزش‌میانه درسطوح اطمینان 99% و 97.5% به عنوان یک آلترناتیو برای ارزش‌درمعرض‌ریسک درسطح 99.5% و ریزش مورد انتظار درسطح 97.85% استفاده شده است. نتایج تجربی بدست‌آمده برای شش شاخص اصلی بورس‌تهران شامل شاخص‌کل بورس، شاخص‌بازار اول، شاخص‌بازار دوم، شاخص‌صنعت، شاخص‌مالی و شاخص‌کل فرابورس، بافراوانی روزانه، طی بازه‌زمانی 23/5/1386 لغایت 13/3/1404، بیانگر عملکرد برتر رویکردهای‌پارامتریک شامل استیودنت t و t چوله نسبت‌به رویکرد پارامتریک گوسی، و رویکردهای نیمه‌ناپارامتریک SNP و رویکرد گرام-چارلیر مثبت در پیش‌بینی برون‌نمونه‌ای معیارهای ریسک است و ارزیابی ریسک محافظه‌کارتری را فراهم‌می‌کند. برتری رویکردهای‌پارامتریک برای ارزیابی شاخص‌های اصلی بورس‌تهران دراین‌است که این شاخص‌ها دنباله‌های هموار و غیرموجی دارند، و جهش‌های حدی در انتهای دنباله خود ندارند، ویژگی‌هایی که با رویکردهای‌نیمه‌ناپارامتریک توضیح داده‌می‌شوند.

کلیدواژه‌ها

عنوان مقاله [English]

Comparison of Parametric and Semi-Nonparametric Methods for Investment Risk Assessment in the Stock Market: A Case Study of the Main Indices of the Tehran Stock Exchange

نویسنده [English]

  • Elham Farzanegan
Assistant Professor of Economics, Department of Economics and Social Sciences, Nahavand Higher Education Complex, Bu-Ali Sina University, Hamedan, Iran,
چکیده [English]

This article aims to assess the risk of the main indices of the Tehran Stock Exchange by introducing a semi-nonparametric approach. The performance of this approach is evaluated against various parametric models using backtesting techniques and different risk measures, including Value at Risk, Expected Shortfall, and Median Shortfall. Moreover, the Value at Risk at 99% and 97.5% confidence levels is employed as an alternative to the Value at Risk at the 99.5% level and the expected shortfall at the 97.85% level. The empirical results, obtained for six key indices of the Tehran Stock Exchange-namely TEPIX, the First Market index, the Second Market index, the Industry index, the Mali index, and the Farabourse index, using daily data from 14/8/2007 to 3/6/2025, indicate the superior performance of parametric approaches such as the Student's t and skewed Student's t distributions over the Gaussian and the semi-nonparametric SNP approaches, as well as the Gram-Charlier expansion, in out-of-sample prediction of risk measures, providing a more conservative risk assessment. The outperformance of parametric approaches in evaluating the key indices of the Tehran Stock Exchange can be attributed to the fact that these indices exhibit smooth, non-wavy tails without extreme jumps at their tails-features that are typically captured by semi-nonparametric models.

کلیدواژه‌ها [English]

  • Gram-Charlier Series
  • Value at Risk
  • Median Shortfall
  • Expected Shortfall
  • Key indices of the Tehran Stock Exchange

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