بررسی تاثیر نوسانات نرخ ارز بر سطوح چولگی و کشیدگی بازده پرتفوی سهام شرکت های پذیرفته شده در بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار گروه حسابداری، دانشگاه آزاد اسلامی واحد رودهن، تهران، ایران

2 کارشناسی ارشد مدیریت مالی، دانشگاه آزاد اسلامی واحد رودهن، تهران، ایران.

چکیده

در پژوهش حاضر، تأثیر نوسانات نرخ ارز بر سطوح چولگی و کشیدگی بازده پرتفوی سهام به‌صورت تجربی مورد­تحلیل قرار گرفته است. جامعه آماری پژوهش شامل شرکت‌های پذیرفته‌شده در «بورس اوراق بهادار تهران» طی سال‌های 1389 تا 1396 است که تعداد 114 شرکت به­عنوان نمونه آماری پژوهش در نظر گرفته شدند. پژوهش از نوع همبستگی بوده و روش گردآوری داده­ها در بخش مبانی نظری مبتنی بر مطالعات کتابخانه‌ای و در بخش آزمون فرضیه‌های پژوهش مبتنی بر اسنادکاوی صورت‌های مالی است. به­طور­کلی روش آماری مورد‌استفاده در این پژوهش روش رگرسیون داده‌های ترکیبی است. نتایج نشان داد که نوسانات نرخ ارز بر چولگی و کشیدگی بازده سهام، تأثیر معکوس و معنادار داشته است. تأثیر این نوسانات بر چولگی و کشیدگی سیستماتیک پرتفوی شرکت‌ها نیز ارزیابی شد و نتایج نشان داد که نوسانات نرخ ارز بر کشیدگی سیستماتیک پرتفوی تأثیر مستقیم داشته است؛ اما تأثیر آن بر چولگی سیستماتیک بازده تأیید نشد. 

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the Effect of Volatility in Exchange Rates on the Levels of Skewness and Kurtosis of Stock Portfolio Returns of Listed Companies in Tehran Stock Exchange

نویسندگان [English]

  • Narges Yazdanian 1
  • Ali Hajiakbari 2
1 Assistant Prof, Department of Accounting, Islamic Azad University of Rudehen Branch, Tehran, Iran.
2 Master of Financial Management, Islamic Azad University of Rudehen Branch,Tehran, Iran.
چکیده [English]

This study empirically has examined the effect of volatility in exchange rates on the levels of skewness and kurtosis of stock portfolio returns. The statistical population of research consists all of companies listed in Tehran stock exchange market during 2010 to 2017 that a number of 114 companies were considered as statistical sample of research. The research method is Correlation type and the method of gathering information in literature is based on library research and in the part of hypothesis testing is based on documentation of financial reports. Generally the statistical method had been used in this research is based on combinational data regression method. Results showed that exchange rate volatilities have negative and significant effect on the skewness and kurtosis of stock returns. Also the effect of these volatilities on the systematic skewness and kurtosis of were investigated and the results showed that the exchange rate volatilities have significant and direct effect on the systematic kurtosis of returns, but its effect on the systematic skewness of returns was not confirmed

کلیدواژه‌ها [English]

  • Volatility in Exchange Rate
  • Skewness of return
  • Kurtosis of return
  • Portfolio

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چشم انداز مدیریت مالی
دوره 9، شماره 25 - شماره پیاپی 25
فروردین 1398
صفحه 121-146

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