ویژگی‏‌های روز و عملکرد بازار سهام

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشجوی دکتری حسابداری، واحد بابل، دانشگاه آزاد اسلامی، بابل، ایران.

2 استادیار، گروه حسابداری، دانشگاه قم، قم، ایران

3 استادیار، گروه حسابداری، واحد بابل، دانشگاه آزاد اسلامی، بابل، ایران

10.48308/jfmp.2024.104307

چکیده

در این پژوهش تاثیر ویژگی‏‌های روز به عنوان یکی از مهم‌ترین عوامل محیطی تأثیرگذار بر فرایند تصمیم‌گیری سرمایه‏‌گذاران، بر عملکرد روزانه بازار سهام مورد بررسی قرار گرفته است. برای آزمون فرضیه‏‌ها، از مشاهدات روزانه طی دورۀ زمانی 1390 تا 1399 و روش رگرسیون خود توضیح با وقفه‏‌های گسترده بعد از انجام پیش آزمون‌‏های آماری شامل مانایی، همخطی، خودهمبستگی و عدم ناهمسانی واریانس استفاده شده است. نتایج نشان داد که متغیرهای سرعت باد، نرخ طلا با یک وقفه، صرفه‏جویی نور روز، اثر فروردین و اثر تقویمی تعطیلات اثر مثبت و معناداری بر بازده بازار سهام؛ و متغیر نرخ طلا دارای اثر منفی بر آن می‏باشد. همچنین متغیرهای نرخ طلا با وقفه، رطوبت و سرعت باد اثر مثبت و معناداری بر حجم معاملات و متغیرهای وضعیت هوا با یک وقفه، سطح افق دید، نرخ ارز، نرخ طلا، نرخ طلا با یک وقفه، نور روز و اثر شنبه داری اثر منفی بر آن هستند. متغیرهای دما، رطوبت با یک وقفه، نور روز با یک وقفه، نرخ طلا و اثر تقویمی تعطیلات دارای اثر مثبت و معناداری بر تعداد معاملات و متغیرهای سرعت باد، وضعیت هوا با یک وقفه، نور روز، نرخ رشد ارز، سطح افق دید و اثر شنبه  دارای اثر منفی بر آن بوده‏‌اند.

کلیدواژه‌ها

عنوان مقاله [English]

Day Features and Stock Market Performance

نویسندگان [English]

  • Neda Kuhestani 1
  • Iman Dadashi 2
  • Hamidreza Gholamnia Roshan 3
  • Kaveh Azinfar 3
1 Ph.D. student of Accounting, Babol branch, Islamic Azad University, Babol, Iran.
2 Assistant prof., Department of Accounting, University of Qom, Qom, Iran
3 Assistant prof., Department of Accounting, Babol branch, Islamic Azad University, Babol , Iran.
چکیده [English]

In this research, the effect of day characteristics as one of the most important environmental factors influencing the decision-making process has been investigated. Daily observations of 2011 to 2020 and ARDL regression were used. After performing statistical pre-tests, including mean, collinearity, autocorrelation, and non-homogeneity of variance. The results showed that variables such as wind speed, gold with a lag, daylight savings, January effect, and the calendar effect of holidays have a positive and significant effect on stock market returns. However, the gold variable has a negative effect on it. Additionally, Variables like gold with a lag, humidity, and wind speed have a positive effect on the volume of transactions. On the other hand, variables such as weather with a lag, horizon level, exchanges rate, gold with a lag, daylight, and Saturday effect have a negative effect on the volume of transactions.  Furthermore, the variables of temperature, humidity with one lag, Daylight with one lag, gold, and the calendar effect of holidays have a positive effect on the number of transactions. Conversely, variables like wind speed, weather with one lag, daylight, currency growth rate, horizon level, and the effect of Saturday have a negative effect on the number of transactions.

کلیدواژه‌ها [English]

  • Behavioral finance
  • Day characteristics
  • Weather
  • Stock market performance
  • ARDL

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چشم انداز مدیریت مالی
دوره 13، شماره 44
1402
صفحه 33-58

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