رابطه حجم معاملات و اجزای آن با بازده؛ مطالعه موردی در بورس اوراق بهادار تهران با تمرکز بر معاملات حین روز و حذف اثر Uشکل

نوع مقاله : علمی - پژوهشی

نویسندگان

1 استادیار مؤسسه آموزش عالی بیمه اکو، دانشگاه علامه طباطبایی.

2 ** کارشناس ارشد مدیریت مالی، دانشگاه شهید بهشتی (نویسنده مسئول).

چکیده

چکیده     هدف این پژوهش، بررسی رابطه میان حجم معاملات سهام و نوسان­پذیری بازده با تمرکز بر اجزای حجم معاملات سهام، تعداد دفعات معاملات و متوسط اندازه معاملات، است. داده­های پژوهش شامل قیمت و حجم معاملات حین روز سی شرکت موجود در شاخص سی شرکت بزرگ بورس اوراق بهادار تهران طی سال­های 1390 تا 1394 می­باشد. معیار انتخاب نمونه، ارزش بازار شرکت­های مورد بررسی بوده است که در زمان انجام پژوهش معادل 67 درصد از ارزش کل بورس اوراق بهادار تهران را در اختیار داشتند؛ لذا بررسی این شرکت­ها می­تواند نماگر مناسبی از بازار سهام باشد. در این پژوهش به کمک روش­های اقتصادسنجی و با تمرکز بر خودرگرسیونی میانگین متحرک و خودرگرسیون ناهمسانی شرطی به­بررسی رابطه میان حجم معاملات، اجزای آن و نوسان­پذیری پرداخته شده است. یافته­های این پژوهش وجود یک رابطه منفی میان حجم معاملات و نوسان­پذیری را تأیید می­کند؛ همچنین در ادامه زمانی­که حجم معاملات در معادله واریانس وارد می­شود، تداوم نوسان­پذیری در بیشتر موارد مورد بررسی، افزایش می­یابد. نتایج این بررسی تأیید می­کند که رابطه حجم معاملات و نوسان­پذیری متأثر از متوسط اندازه معاملات است؛ همچنین این نتایج پس از حذف اثر یوشکل در معاملات حین روز نیز تأیید شد.

کلیدواژه‌ها

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