بررسی رابطه معامله‌گری اخلالی و بازده سهم در بازار سهام ایران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دکتری مدیریت مالی، پردیس فارابی دانشگاه تهران ، قم، ایران.

2 استادیار گروه مالی، دانشکدۀ مدیریت و حسابداری، پردیس فارابی دانشگاه تهران، ایران

3 استاد گروه مدیریت مالی و بیمه، دانشگاه تهران، تهران، ایران.

4 استادیار گروه حسابداری و مدیریت مالی، پردیس فارابی دانشگاه تهران، قم، ایران.ع.(نویسنده

چکیده

نوسانات بازدهی در بازارهای مالی عمیقاً به ماهیت، رفتار و تمایلات معامله‌گران وابسته است. هدف پژوهش حاضر تعیین استراتژی معاملاتی مناسب در بازار سهام ایران بر اساس رفتار معامله‌گران اخلال­گر است. برای دستیابی به اهداف پژوهش از داده‌های مربوط به شاخص کل و 96 شرکت‌ انتخابی استفاده شده است. نتایج حاصل از تحلیل نوسان بازده روزانه شاخص کل طی دوره پنج­ساله 1391 لغایت 1395 با استفاده از آزمون نسبت واریانس چندگانه چاو­-­دنینگ  نمایانگر این است که فرهنگ رایج معامله‌گران بازار سهام ایران معاملات اخلالی است؛ همچنین معنا‌داری خطای رفتاری معامله‌گران بازار سهام ایران نشان می‌دهد که این بازار با ریسک معامله‌گران اخلال‌گر  مواجه است. بررسی تأثیر ارزش وقفه‌ای ریسک معامله‌گران اخلال‌گر بر بازهی سهام شرکت‌های مورد­مطالعه با استفاده از مدل رگرسیونی دو‌متغیره نشان داد که معامله‌گران اخلال‌گر بر بازدهی سهام این بازار تأثیر معنادارای دارند و اثر اخلال سیستماتیک  بر اثر نقدی اخلال غلبه دارد؛ یعنی معامله‌گران اخلال‌گر می‌توانند با اتخاذ استراتژی اخلالی و تحمیل ریسک خود بر بازار عایدی بیشتری از معامله‌گران عقلایی با استراتژی معکوس به‌دست ‌آورند. نتایج این پژوهش می‌تواند به سرمایه‌گذاران در اتخاذ استراتژی معاملاتی مناسب و به سیاست­گذاران بازار سهام در اعمال سازوکارهایی برای کاهش معاملات اخلالی کمک کند. 

کلیدواژه‌ها

عنوان مقاله [English]

Investigation of Relationship Between Noise Trading and Share Returns In Iran Stock market

نویسندگان [English]

  • Khalil Abbasi Museloo 1
  • Alireza Saranj 2
  • Reza Tehrani 3
  • Mohammad Nadiri 4
1 Ph.D. in Financial Management, Department of Accounting and Financial Management, Tehran University, College of Farabi, Qom, Iran.
2 Assistant Prof., Faculty of Management and Accounting, University of Tehran, Farabi College, Qom, Iran
3 Professor, Department of Financial Management, Tehran University, Tehran, Iran.
4 Assistant Prof, Department of Accounting and Financial Management, Tehran University, College of Farabi, Qom, Iran.
چکیده [English]

The return volatility in financial markets depends heavily on the nature, behavior and desires of the trader. The aim of this study is to determine the appropriate trading strategy in Iran stock market based on the behavior of noise traders. In order to achieve this research aims, related data to total index and 96 selected companies has been used. The results of daily fluctuation analysis of the total index by using the Chow-analysis multiple variance test (CD) during the five-year period from 2011 to 2016 showed that the common culture of traders on Iranian stock market is noise trading. Statistically significant Behavioral Error (BE) of Iranian stock market traders point out that this market faces the noise trader risk (NTR). So the results of the survey of the effect of noise trader risk (NTR) lagging value on the stocks retune of the selected companies by using a two-variable regression model indicate that: firstly, noise traders have a significant effect on stock returns in this market, and secondly, the systematic noise effect (SNE) overcomes cash noise effect (CNE), That means that noise traders by adopting a noisy strategy and expanding their risk exposure on market can earn more than information traders with reverse strategy. The results of this research can help investors to adopt a suitable trading strategy and competent authorities to apply mechanisms to reduce noisy transactions.

کلیدواژه‌ها [English]

  • Trading Strategy
  • Traders Behavior
  • Systematic Noise Effect
  • Noisy Strategy

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