بررسی ارتباط احساسات سرمایه‌گذاران، سیاست‌های پولی و بازده بورس اوراق بهادار تهران

نوع مقاله : پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد اسلامی، گروه علوم اقتصادی، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

2 استادیار، گروه علوم اقتصادی، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

3 دانشیار، گروه اقتصادی، پژوهشکده امور اقتصادی، تهران، ایران

4 دانشیار، گروه علوم اقتصادی، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

چکیده

یکی از رویکردهای بسیار مهم در حوزۀ مالی، محاسبۀ اثرپذیری بازار بورس از عوامل رفتاری و عوامل کلان اقتصادی است. بسیاری از مطالعات بر این باورند که احساسات سرمایه‌گذاران در اثرگذاری بر بازار بورس تأثیر چندان مهمی ندارد و عوامل کلان اقتصادی و مخصوصاً جریانات نقدی فاکتور بسیار مهم در رشد شاخص قیمت سهام است. در مقابل اقتصاددانان رفتاری اعتقاد دارند که احساسات سرمایه‌گذاران بسیار مهم است و در ایجاد سیکل‌های بازار بورس نقش بسیار مهمی ایفا می‌کند. این مطالعه در جهت پاسخ‌گویی به این فرضیات، از روش خود رگرسیون‌برداری مارکوف سوئیچینگ در بازۀ زمانی ۱۳۸۹ تا ۱۴۰۲ در قالب داده‌های فصلی استفاده کرده است. نتایج این مطالعه حاکی از آن است که زمانی که خوش‌بینی در بین سرمایه‌گذاران وجود داشته و رشد نقدینگی حقیقی نیز بالا بوده، رونق در بازار بورس حاکم بوده است. در این دوران، رشد نقدینگی حقیقی مثبت سبب افزایش بازده بازار بورس شده و احساسات مثبت سرمایه­گذاران به کاهش بازده بازار بورس منجر شده است (به سبب اثر گله‌ای). در مقابل زمانی که وضعیت بازار بورس در حالت رکودی قرار گرفته است، احساسات منفی سرمایه­گذاران منجر به کاهش بازده بازار سهام و افزایش احتمال ماندگاری بازار بورس در وضعیت رکودی شده است. مهمترین توصیه‌های سیاستی این پژوهش برای سرمایه‌گذاران و سیاست‌گذاران بازار سرمایه بحث شده است. 

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  • تاریخ دریافت: 21 مهر 1403
  • تاریخ بازنگری: 17 اسفند 1403
  • تاریخ پذیرش: 19 اسفند 1403
  • تاریخ انتشار: 01 دی 1404

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