بررسی احساسات سرمایه‌گذاران و همزمانی بازدهی سهام در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار دانشکده علوم مالی دانشگاه خوارزمی، تهران

2 کارشناسی ارشد مدیریت مالی، دانشگاه خوارزمی، تهران، ایران

چکیده

احساسات سرمایه‌گذاران نسبت به بازار سرمایه می‌تواند نقش موثری بر روند قیمت‌ سهام، حجم معاملات بازار و بخصوص بر همزمانی بازدهی سهام داشته باشد. ورود سرمایه‌گذاران خرد بسیار با حجم سرمایه بالا که از دانش کافی در زمینه سرمایه‌گذاری بهره‌مند نیستند، موجب شده مطالعه این موضوع اهمیت بیشتری پیدا کند. از این رو، در این پژوهش به بررسی رابطه بین احساسات سرمایه‌گذاران و همزمانی بازدهی سهام در بورس اوراق بهادار تهران، با نمونه آماری 167 شرکت پذیرفته شده در بورس اوراق بهادار از 15 صنعت مختلف طی بازه زمانی فروردین ماه 1389 لغایت اسفند ماه 1398 پرداخته شده است. احساسات سرمایه‌گذاران از طریق شاخص ترکیبی پیشنهادی بیکر و وارگلر (2006) با استفاده از تحلیل مولفه‌های اصلی اندازه‌گیری شده است و همچنین برای اندازه‌گیری همزمانی بازدهی سهام از سه روش مختلف: مدل ساده مورک، مدل چهارعاملی کارهات و مدل پنج‌عاملی فاما فرنچ استفاده شده است. نتایج پژوهش نشان‌دهنده این است که احساسات سرمایه‌گذاران به‌طور معناداری بر افزایش همزمانی بازدهی سهام اثرگذار است و همچنین یافته‌های پژوهش نشان داد ضرایب احساسات مثبت و منفی به‌طور معناداری باهم تفاوت ندارند و در نتیجه احساسات مثبت و منفی بصورت متقارن  بر افزایش همزمانی بازدهی سهام اثرگذار هستند.

کلیدواژه‌ها

عنوان مقاله [English]

Investor sentiment and stock return synchronicity in Tehran Stock Exchange

نویسندگان [English]

  • Mohammad Ebrahim Aghababaei 1
  • Saeid Madani 2
1 Assistant Professor of Kharazmi University/Tehran
2 MSc in Financial Management, Kharazmi University, Tehran, Iran.
چکیده [English]

Investor sentiment about the capital market can play an important role in stock price trends, market transactions, and especially on the stock return synchronicity. The entry of many Individual investors who do not have enough information about investment, the study of this issue has made more important. To this end, in this research we investigate the relationship between investor sentiment and stock return synchronicity in Tehran Stock Exchange, by using the financial data of 167 firms listed on Tehran Stock Exchange from 15 various industries during ten years from March 2010 to March 2020. We use the Baker-Wurgler (2006) sentiment index as our primary measure of investor sentiment that Measured by principal component analysis. Also, three different methods have been used to measure the stock return synchronicity: the Mork model, the Carhart four-factor model and the Fama and French five-factor model. The results show that the Investors sentiment significantly affect on increasing stock return synchronicity. The findings also showed that the coefficients of positive and negative sentiment are not significantly different and as a result, positive and negative sentiment are symmetrically affecting the increase in stock return synchronicity.

کلیدواژه‌ها [English]

  • Investor sentiment
  • Return
  • Stock return synchronicity

مراجع

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چشم انداز مدیریت مالی
دوره 11، شماره 34
شهریور 1400
صفحه 95-115

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