استراتژی معاملات بازخورد و رفتار سرمایه‌گذاران در صندوق‌های قابل معامله در ایران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران.

2 استادیار، گروه اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

چکیده

صندوق‌های قابل معامله در بورس دارای ویژگی‌های بسیار زیادی مانند هزینه کم، کارایی مالیاتی، نقدینگی و ویژگی‌هایی مانند سهام هستند که آن را بسیار جذاب می‌کند. به همین دلیل، محبوب‌ترین نوع مقصد سرمایه‌گذاری هستند. به دلیل سهولت و هزینه پایین معامله، این صندوق‌ها ممکن است برای معامله‌گرانی که تمایل بیشتری به پیگیری روندها دارند، جذابیت بیشتری داشته باشد. تحقیقات در مورد رفتار سرمایه‌گذاران این صندوق‌ها نشان داده است که آن‌ها مستعد دنبال کردن معاملات بازخورد هستند. هدف از این مقاله، بررسی معاملات بازخورد در صندوق‌های قابل معامله سهام در بازار سرمایه ایران برای اولین بار می‌باشد. به این منظور، از داده‌های روزانه هفت صندوق قابل معامله سهام طی دوره زمانی 15/07/1392 الی 29/12/1401 و مدل معاملات بازخورد سنتانا-وادوانی (1992) استفاده شده است. نتایج نشان داد که علی‌رغم وجود بازار با هم‌پوشانی کامل برای معاملات دارایی پایه، این صندوق‌ها در بیشتر روزهای معاملاتی پایین‌تر از ارزش خالص دارایی خود معامله می‌شوند. نتایج حاصل از برآورد مدل معاملات بازخورد نشان داد که هیچ‌گونه شواهدی مبنی بر وجود معاملات بازخورد در این صندوق‌ها وجود ندارد و معامله‌گران توجهی به بازدهی گذشته آن‌ها ندارند. همچنین بازار این صندوق‌ها از کارایی برخوردار می‌باشد که این موضوع را می‌توان به مدیریت حرفه‌ای این صندوق‌ها نسبت داد.

کلیدواژه‌ها

عنوان مقاله [English]

Feedback Trading Strategy and Investors Behavior in Exchange Traded Fund in Iran

نویسندگان [English]

  • Mahdi Shaerattar 1
  • Akbar Mirzapour Babajan 2
1 * Ph.D. Candidate in Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran
2 Assistant Prof., Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran.
چکیده [English]

Exchange Traded Funds (ETFs) have so many features like low cost, tax efficiency, liquidity and stock like attributes which make it most attractive. Because of this, ETFs are the most popular type of investment destination. Intuitively, because of their ease and low cost of trading, ETFs may be appealing to individual (unsophisticated, uninformed) investors who are more likely to chase trends, raising a concern over the impact of their introduction on the overall market efficiency. The purpose of this article is to examine the strategy of feedback trading and investors’ behavior ETF in the capital market of Iran for the first time. For this purpose, the daily data of seven ETFs 2013/10/07-2023/03/20 and Santana-Wadvani model (1992) have been used. The results showed that despite the existence of a fully overlapping market for underlying asset transactions, these ETFs are traded below their net asset value on most trading days. The results of the estimation of the feedback trading model showed that there is no evidence of the existence of feedback trading in ETFs and traders do not pay attention to their past performance. The market of these ETFs is efficient, which can be attributed to the professional management of these ETFs

کلیدواژه‌ها [English]

  • Feedback trading
  • Price deviation
  • Exchange traded funds
  • Market efficiency
  • Investors behavior

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چشم انداز مدیریت مالی
دوره 13، شماره 42
شهریور 1402
صفحه 91-116

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