واکنش شاخص بازار سهام تهران به شوک‎ پولی، ریسک‎ گریزی و احساسات سرمایه ‎گذاران؛ رویکرد مدل‎های TRو ARDL

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه مالی، دانشکده مدیریت و حسابداری، واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران.

2 استادیار، گروه حسابداری، دانشکده مدیریت و حسابداری، واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران.

3 دانش آموخته کارشناسی ارشد، گروه مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه آزاد اسلامی واحد کرج، کرج، ایران.

چکیده

اینکه از نظر تجربی در بازار سهام ریسک بالا باید بازدۀ بیشتری به‌همراه داشته باشد یک فرضیه نادرست است، زیرا عامل اصلی چنین تناقضاتی به ‌احتمال وجود احساسات سرمایه‌گذاران بر می‎گردد. همچنین تغییرات در نحوه انجام تراکنش‌های مالی و در نتیجه رویدادهای ریسکی تصمیم‌گیرندگان سیاست پولی را بر آن داشته است تا چگونگی تأثیر اقداماتشان بر بازارهای مالی را در این محیط جدید تحلیل کنند. از اینرو هدف اصلی این پژوهش بررسی واکنش شاخص بازار سهام تهران به شوک‎ پولی، ریسک‎ گریزی و احساسات سرمایه‎گذاران است که بدین منظور با استفاده از داده‎های سالانه کشور ایران طی دوره زمانی 1370- 1401 و با استفاده از مدل‎های خودرگرسیون با وقفه توزیعی (ARDL) و رگرسیون آستانه‎ای (TR) به تحلیل نتایج پرداخته شد. نتایج نشان می‌دهد رابطه غیرخطی بین تمامی متغیر‎های مستقل و وابسته به صورت U شکل بر قرار است و طبق تحلیل مدل خطی در کوتاه‎مدت ریسک‎گریزی، شوک پولی و احساسات سرمایه‎ گذاران بر بازده شاخص بازار سهام تاثیر منفی و معناداری دارند. نتایج در بلندمدت نیز نشان داد که فقط شوک‎ پولی بر بازده شاخص بازار سهام تهران تاثیر مثبت و معناداری خواهد داشت.

کلیدواژه‌ها

موضوعات

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  • تاریخ دریافت: 26 خرداد 1403
  • تاریخ بازنگری: 05 مرداد 1403
  • تاریخ پذیرش: 05 مرداد 1403
  • تاریخ انتشار: 01 خرداد 1403

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