تأثیر احساسات سرمایه‌گذار بر روند شکل‌گیری حباب در بازار سهام

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه مدیریت مالی و بیمه، دانشگاه شهید بهشتی، تهران، ایران.

2 دانشجوی کارشناسی ارشد مدیریت مالی، دانشگاه شهید بهشتی، تهران، ایران.

چکیده

هدف اصلی پـژوهش حاضر، بررسی تأثیر احساسات سرمایه‌گذار بر روند شکل‌گیری حباب در بازار سهام می‌باشد. برای این منظور داده‌های روزانه شاخص قیمت کل همچنین شاخص احساسات سرمایه‌گذار برای دوره زمانی ۱۳۹۸-۱۳۸۸ استفاده شده است. این پژوهش در پی یافتن رابطه بین احساسات سرمایه‌گذاران و احتمال ایجاد حباب در بورس تهران است.
در این پژوهش ابتدا به‌وسیله‌ی دیکـی - فـولر تعمیم‌یافته حباب را در بازار سهام شناسایی می‌کنیم، پس از آن شاخص احساسات سرمایه‌گذار را به‌وسیله شاخص احساسات بازار سرمایه (EMSI) محاسبه می‌کنیم، سپس به‌وسیله‌ی یک رگرسیون لجستیک رابطه‌ی معناداری بین احساسات سرمایه‌گذار و شکل‌گیری حباب را مورد بررسی قرار می‌دهیم. طبق یافته‌های این پژوهش و بر اساس آماره BSADF (سوپریمم عمومی‌دیکی فولر بازگشتی) وجود پنج حباب مالی مهم در تاریخ‌های مختلف در فرایند تولید داده‌های شاخص کل بورس تهران تأیید می‌شود.
طبق یافته‌های پژوهش، فرضیه تأثیرگذاری احساسات در بازار سرمایه‌بر شکل‌گیری حباب مالی رد می‌شود، همچنین باتوجه ‌به نتایج رگرسیون لجستیک و پروبیت، ارزش احتمال متغیر EMSI (شاخص احساسات بازار سرمایه) در سطوح آماری مرسوم بی‌معنی می‌باشد. براین‌اساس در این پژوهش مشاهده شد که احساسات سرمایه‌گذاران هیچ‌گونه تأثیری بر روی شکل‌گیری حباب در بازار سرمایه ندارد.

کلیدواژه‌ها


عنوان مقاله [English]

The Effect of Investor Sentiment on the Formation of Bubbles in the Stock Market

نویسندگان [English]

  • Mohammad Osoolian 1
  • Seyed Jalal SadeghiSharif 1
  • Vahid Sharifiana 2
1 Assistant Prof, Department of Financial Management and Insurance, Shahid Beheshti University, Tehran, Iran.
2 Master Student in Financial Management, Shahid Beheshti University, Tehran, Iran.
چکیده [English]

The main purpose of this study is to investigate the effects of investor sentiment on bubble formation in the stock market. This study aims to find a significant relationship between investors' sentiments and the creation and explosion of the bubble in the Tehran stock exchange. For this purpose, daily index data is used as well as investor sentiment index for the 2009 - 2019 period. By using Dicky – Fuller test, we identify bubbles in the Tehran stock market and calculate the indicator of investor sentiment. Afterwards, we study the relationship between investor sentiment and bubble formation by using Logistic regression.
 According to the research findings, the hypothesis of the influence of investor's feelings in the capital market on the formation of the financial bubble is rejected.Also according to the results of logistic regression and probit regression, The probability value of the variable EMSI (Equity Market Sentiment Index) at conventional statistical levels is meaningless. Further, the author observes that, Investor's sentiment have no effect on the formation of a bubble in the Stock market.

کلیدواژه‌ها [English]

  • Bubble
  • Investor Sentiment
  • Logistic Regression
  • Bubble Burst
  • Augmented Dicky Fuller
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