بررسی نقش طلا در تنوع بخشی سبد سرمایه‌گذاری در سهام

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی، واحد تهران شمال، تهران، ایران.

2 دانشیار گروه مدیریت مالی، واحد تهران شمال، دانشگاه آزاد اسلامی، تهران، ایران

3 دانشیار گروه مدیریت، واحد تهران مرکز، دانشگاه آزاد اسلامی، تهران، ایران.

چکیده

ریسک بخشی از سرمایه‌گذاری است. تنوع‌بخشی به‌عنوان یکی از راهکارهای مدیریت ریسک، امکان افزایش مطلوبیت از راه کاهش ریسک و یا افزایش پاداش را فراهم می‌کند. در این مقاله به بررسی نقش  طلا در تنوع‌بخشی سبد سرمایه‌گذاری در سهام هم‌وزن شاخص‌های منتخب بورس اوراق بهادار تهران پرداخته شده است. بدین منظور از اطلاعات مربوط به شاخص کل بورس اوراق بهادار تهران، شاخص صنعت در بورس اوراق بهادار تهران، شاخص 50 شرکت فعال‌تر بورس اوراق بهادار تهران و بازدهی سکه‌ی طلا در بازار نقد طی بازه زمانی سال‌های 1387 تا 1397 استفاده شد. با استفاده از تسلط تصادفی در سه سطح، به مقایسه عملکرد سبدهای سرمایه‌گذاری شامل سبد سهام هم‌وزن هر یک از شاخص‌ها، سبد سرمایه‌گذاری شامل سکه‌ی طلا و سبد سرمایه‌گذاری متشکل از ترکیب سهام هم‌وزن هر یک از شاخص‌های منتخب و سهمیه‌ای فرضی بین صفر تا 50 درصد برای سکه‌ی طلا در بازار نقد پرداخته شده است. معیار تسلط تصادفی معیارهای رتبه‌بندی و ارزیابی عملکرد جهت انتخاب سبدی از دارایی است که مطلوبیت مورد انتظار را حداکثر می‌کند. بررسی نتایج آزمون بین همه شاخص‌های منتخب بورس اوراق بهادار تهران، سکه‌ی طلا و سبد سرمایه‌گذاری‌ حاصل از ترکیب سهام هم‌وزن هر یک از شاخص‌های منتخب و سکه‌ی طلا نشان داد که در سطح اطمینان 95 درصد، تخصیص حداقل 20 درصد از ارزش سبد سرمایه‌گذاری شامل سهام به سکه‌ی طلا می‌تواند مزایای تنوع‌بخشی یعنی پاداش بازدهی متناسب با ریسک بهتری را ایجاد ‌کند.

کلیدواژه‌ها

عنوان مقاله [English]

The effect of Gold on Portfolio Diversification:The case of indexed portfolios from Tehran Stock Exchange

نویسندگان [English]

  • Mahdi Eskandari 1
  • Ali Saeedi 2
  • Mir Feyz Fallahshams 3
1 Ph.D. Candidate in Financial Management, Islamic Azad University,North Tehran Branch, Tehran, Iran.
2 Associate prof, Department of Financial Management, North Tehran Branch, Islamic Azad University, Tehran, Iran
3 Associate prof, Department of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
چکیده [English]

Risk management is part of investment decision making. Diversification as one of the risk management techniques can increase the utility by increasing return for every unit of risk. In this paper, we review the effect of gold on diversification of stock portfolios in Tehran Stock Exchange. For this purpose, we used the spot price of gold coin as a standard price for gold and we used different indexed portfolios such as Tehran Stock Exchange Price Index, Industry Index, index of 50 companies from 2008 to 2018.We used Stochastic Dominance to rank portfolios as one of the criteria for rating and evaluating performance is to select a portfolio that maximizes the expected utility. By implementing stochastic dominance at three levels we compared the portfolio’s performance. The portfolios were made of an indexed portfolios and a share of gold which could be from 0 to 50 percent of the value of the portfolio. The results showed that adding gold to the portfolios of almost all of the indexes can improve their performances at 95% confidence level. The diversification benefit of gold will be maximized when at least 20% of the portfolios consist of gold coin.

کلیدواژه‌ها [English]

  • Risk
  • Portfolio
  • Diversification
  • Stochastic Dominance

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