شبیه سازی الگوی تأثیرات عوامل رفتاری و کلان اقتصادی بر شاخص کل بورس اوراق بهادار تهران با استفاده از رویکرد پویایی شناسی سیستمی

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشجوی دکتری، مدیریت سیستم‌، دانشگاه شیراز، شیراز، ایران.

2 دانشیارگروه مدیریت، دانشگاه شیراز، شیراز، ایران

3 دانشیارگروه مدیریت، دانشگاه شیراز، شیراز، ایران.

4 استادیار ﻣﺮﮐﺰ ﺗﺤﻘﯿﻘﺎت ﮐﺸﺎورزی و ﻣﻨﺎﺑﻊ ﻃﺒﯿﻌﯽ اﺳﺘﺎن ﻓﺎرس، شیراز، ایران.

چکیده

پژوهش حاضر با هدف ارائه الگویی برای پیش­بینی تغییرات شاخص کل «بورس اوراق بهادار تهران» با در­نظر­گرفتن عوامل رفتاری و کلان اقتصادی حاکم بر بازارهای پولی و مالی کشور صورت گرفته است. اهمیت و ضرورت این مطالعه از آن رو است که بر خلاف سایر مطالعات پیشین به­منظور تحقق این مهم تنها به ابعاد کلان اقتصادی پرداخته نشده و علاوه­بر این بُعد، ابعاد رفتاری نیز بررسی شده است تا قدرت تبیین­کنندگی مدل را نسبت به مدل­های ارائه­شده در این راستا ارتقا دهد. این امر با استفاده از روش پویایی­شناسی سیستمی و ارتباط میان سوگیری­های رفتاری، دارایی­های رقیب سهام (قیمت طلا، نرخ ارز، قیمت مسکن و قیمت نفت) و عوامل کلان اقتصادی صورت گرفته است. نتایج پژوهش مؤید این موضوع است که متناسب با شرایط پیش رو تا سال 1400، با افزایش ارزش تمامی دارایی­های رقیب سهام، به­تبع شاخص کل «بورس اوراق بهادار تهران» نیز از این الگو پیروی خواهد کرد. در این راستا باید توجه داشت که رشد چند برابری ارزش هر یک از دارایی­های موجود در بازارهای پولی و مالی کشور در یک بازه زمانی کوتاه­مدت نشان­دهنده بهبود و رشد وضعیت اقتصادی کشور به­شمار نمی­رود؛ بلکه این امر به­واسطه جذب سرمایه­گذاران ناآگاه به این بازارها رخ داده است و می­تواند زمینه وقوع بحران­های اقتصادی را برای کشور به همراه داشته باشد. 

کلیدواژه‌ها

عنوان مقاله [English]

Simulation the Model of Effects of Behavioral and Macroeconomic Factors on the Tehran Stock Exchange Index with Using System Dynamics Approach

نویسندگان [English]

  • Hooman Pashootanizadeh 1
  • Habibollah Ranaei Kordshouli 2
  • Abbas Abbasi 3
  • Mohammad Hashem Moosavihaghighi 4
1 Ph.D. Student in Systems Management, University of Shiraz, Shiraz, Iran.
2 Associate Prof, Department of Management, University of Shiraz, Shiraz, Iran
3 Associate Prof, Department of Management, University of Shiraz, Shiraz, Iran.
4 Assistant Prof, Faculty of Fars Research Centre for Agriculture, Shiraz, Iran.
چکیده [English]

The purpose of this study was to provide a model for predict the volatility in Tehran Stock Exchange index, taking into account the behavioral and macroeconomic factors affected on financial and monetary markets of the country. The importance and necessity of this study is that, unlike other previous studies, in order to realize this importance, only macroeconomic dimensions have not been addressed, and in addition to this dimension, the behavior dimensions have been examined, Until to improve the explanatory power of the model than the other presented models in this regard. This matter has been accomplished by using the system dynamism method and the relationship between behavioral bias, alternative assets and macroeconomic factors. The results of the research prove this matter that according to the upcoming conditions until 2021, the value of all alternative assets of shares will grow and consequently, the Tehran Stock Exchange Index will follow this pattern. In this regard, it should be noted that the multi-fold growth of the value of each assets in the monetary and financial markets in a short period of time does not indicate the economic growth in the country, even this matter due to the attract unknowing investors to these markets and it can lead to economic crises.

کلیدواژه‌ها [English]

  • Behavioral Bias
  • Behavioral Finance
  • System Dynamics

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چشم انداز مدیریت مالی
دوره 10، شماره 29 - شماره پیاپی 29
اردیبهشت 1399
صفحه 89-124

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