بررسی اثر نااطمینانی نرخ بهره بر شاخص کل بورس اوراق بهادار تهران (رویکرد رگرسیون کوانتایل مبتنی بر تبدیل موجک)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه اقتصاد، دانشگاه پیام نور، تهران، ایران

2 کارشناسی اقتصاد، گروه اقتصاد، دانشگاه پیام نور، تهران، ایران

چکیده

رشد نرخ‌ بهره می‌تواند سودآوری شرکت‌ها را افزایش داده، بهبود کارایی عملیاتی و حاشیه سود را تشویق کرده و سبب افزایش قیمت و بازده سهام شود. همچنین، افزایش نرخ‌ بهره می‌تواند به تعادل مجدد پرتفوی و افزایش تقاضای سهام کمک کند. لذا هدف مطالعه بررسی اثر نرخ بهره و نرخ شاخص کل بورس اوراق بهادار تهران بوده که در بازه 1388 الی 1403 با استفاده از رویکرد رگرسیون کوانتایل مبتنی بر تبدیل موجک صورت می‌گیرد. نتایج تجربی نشان می‌دهد که عدم قطعیت نرخ بهره رابطه معنادار و تأثیر مثبت بر شاخص کل بورس اوراق بهادار تهران در تمام چارک‌ها دارد،این تأثیر در چارک‌های اولیه قوی‌تر است، اما با گذشت زمان کاهش می‌یابد . مقایسه موجک‌های دابچیز و هار نشان می‌دهد که تفاوت میانگین خطای مربعات بین این دو موجک از نظر آماری معنادار نیست. تحلیل بوت‌استرپ نشان داد که تفاوت میانگین خطای مربعات بین این دو موجک و مقدار پی نشان‌دهنده عدم تفاوت معنادار است. در نهایت پیشنهاد بر این است که سرمایه‌گذاران با هدف بلند مدت، باید بیش از تغییرات نرخ بهره به عملکرد شرکت‌ها توجه داشته باشند.

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موضوعات

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