تأثیر بی‌ثباتی نرخ ارز و ورود سهام‌داران حقیقی بر نرخ بازده دارایی در صنایع غذایی و آشامیدنی بورس اوراق بهادار تهران (رهیافت داده‌های تابلویی پویا)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار، گروه اقتصاد، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران.

2 دانشجوی دکتری اقتصاد، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران

3 دانشیار، گروه اقتصاد امور عمومی، دانشگاه خوارزمی، تهران، ایران.

چکیده

صنعت موادغذایی و آشامیدنی به عنوان یکی از صنایع صادراتی سهم عمده در بازار جایگاه ویژه‌ای در بازار سرمایه داشته و نقش قابل ملاحظه‌ای را در معامله‌های بازار بورس از طریق جمع‌آوری پس‌اندازهای خرد جامعه بر عهده داشته است. از این‌رو هدف اصلی پژوهش بررسی تأثیر بی‌ثباتی نرخ اسمی ارز و ورود سهام‌داران حقیقی بر نرخ بازده دارایی در44 شرکت مواد و محصولات غذایی و آشامیدنی به جزء قند و شکر به عنوان شرکت‌های صادرات محور طی سال‌های 1398-1390 می‌باشد. برای این منظور بی‌ثباتی نرخ اسمی ارز به روش خودرگرسیونی تعمیم‌یافته تحت شرایط ناهمسانی واریانس برآورد شده و تأثیر این متغیر به همراه متغیرهای ورود سهام‌داران حقیقی، حاشیه سود خالص، میزان سرمایه و هزینه بهره به سود عملیاتی شرکت‌ها بر نرخ بازده دارایی شرکت‌ها بررسی شده است. نتایج تخمین مدل به روش تخمین‌زننده گشتاور تعمیم یافته نشان می‌دهد متغیر بی‌ثباتی نرخ اسمی ارز تأثیر منفی و ورود سهام‎داران حقیقی تأثیر مثبت و معنی‌دار بر نرخ بازده دارایی شرکت‌ها در دوره جاری داشته و متغیرهای کنترلی حاشیه سود خالص و میزان سرمایه اثر مثبت و هزینه بهره به سود عملیاتی تأثیر منفی و معنی‌دار بر بازده دارایی‌ها داشته‌اند. بر اساس نتایج حاصل از این پژوهش، پیشنهاد می‌شود سیاست‌گذاران اقتصادی و مالی با کاهش بی‌ثباتی نرخ ارز از طریق کنترل سطح عمومی قیمت‌های داخلی و نرخ تورم و نیز سیاست‌های تثبیت‌کننده بازار سرمایه، انگیزه ورود سهام‌داران حقیقی را به بازار سرمایه فراهم نموده و موجبات افزایش تولید و سودآوری شرکت‌های مواد غذایی و آشامیدنی را فراهم نمایند.

کلیدواژه‌ها

عنوان مقاله [English]

The Effects of Exchange Rate Volatility and Entry of Real Shareholders on the Return on Assets in the Food and Drink Companies of Tehran Stock Exchange (Dynamic Panel Data Approach)

نویسندگان [English]

  • Fereshteh Shams Safa 1
  • Marjan Daman keshideh 2
  • Majid Afsharirad 3
  • Manijeh HadiNejad 1
  • Alireza Daghighi Asl 1
1 Assistant Prof., Department of Economics, Central Tehran branch, Islamic Azad University, Tehran, Iran.
2 Ph.D. Candidate in Economic, Central Tehran Branch, Islamic Azad University, Tehran, Iran
3 Associate Prof., Department of General Economics Affairs, Kharazmi University, Tehran, Iran
چکیده [English]

Food and drink industry has a main share in capital market and a considerable role in stock market transactions through the collection of community micro-savings. Hence, the cruicial aim of this paper is to investigate the effects of nominal exchange rate volatility and entry of real shareholders on the return on assets (ROA) in the 44 food and drink companies of Tehran stock exchange as a export oriented companies during the period of 2011-2019. For achieving this, by using of Panel GARCH method, the exchange rate volatility has been estimated and then, the impacts of this variabble with other explanatory variabbles such as entry of real shareholders, profit margin, capital and interest rate to the operational profit, have been examined on return on assets in these companies. The empirical results of model estimation by GMM estimator revealed that the exchange rate volatility has negative and entry of real shareholders has positive and significant effect on the return on assets. Moreover, the auxiliary variables like profit margin, capital and interest rate have positive, positive and negative effects on the return on assets. By results of this study, we can suggest that the financial policy makers with decreasing of exchange rate volatility through control of domestic prices and capital market stabilization policies, motivate real shareholders to enter the capital market and increase the production and profitability of food and drink companies.

کلیدواژه‌ها [English]

  • Exchange Rate Volatility
  • Entry of Real Shareholders. Return on Assets
  • Pharmaceutical Food and Drink Companies of Tehran Stock Exchange
  • Dynamic Panel Data Approach

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چشم انداز مدیریت مالی
دوره 12، شماره 39
مهر 1401
صفحه 121-145

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