واکاوی تأثیر احساسات سرمایه ‏گذاران بر خطر سقوط قیمت سهام در بورس اوراق بهادار تهران

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشیار گروه مالی و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.

2 دانشجوی دکتری حسابداری، دانشگاه الزهراء، تهران، ایران.

چکیده

هدف پژوهش حاضر، بررسی تأثیر احساسات سرمایه‏گذاران بر خطر سقوط قیمت سهام در شرکت‌های پذیرفته‌شده در «بورس ‎اوراق ‎بهادار ‎تهران» طی سال‎های 1389 تا 1395 است. برای بررسی فرضیه‌های این پژوهش از تحلیل رگرسیون ترکیبی/ تلفیقی استفاده ‌شده است. یافته­های پژوهش نشان می­دهد که بین احساسات سرمایه‏گذاران (بر اساس شاخص آرمز) و معیارهای مختلف خطر سقوط قیمت سهام، رابطه مستقیم وجود دارد؛ به‌بیان‌دیگر با افزایش شاخص آرمز که نشانگر احساسات سرمایه‎گذاران است، خطر سقوط قیمت سهام افزایش می­یابد. نتایج همچنین حاکی از تأثیر منفی و معنادار نسبت ارزش بازار به ارزش دفتری در ارتباط فوق است و ارتباط معناداری بین متغیرهای نسبت بدهی، نسبت سودآوری و اندازه شرکت با خطر سقوط سهام مشاهده نشد. 

کلیدواژه‌ها

عنوان مقاله [English]

Investigating the effect of Investor Sentiment on the stock price crash risk in Tehran Stock Exchange

نویسندگان [English]

  • Gholamhossein Assadi 1
  • Fatemeh Morshedi 2
1 Associate Prof, Department of Finance and Accounting, Shahid Beheshti University, Tehran, Iran.
2 Ph.D. Student in Accounting, Alzahra University, Tehran, Iran.
چکیده [English]

Research on the relationship existing between Investors’ sentiments and stock pricing and price crash risk is of scholars’ concerns, especially in behavioral economics and finance. The purpose of this paper is to analyze the effect of investors’ sentiments over stock price crash risk among Tehran Stock Exchange (TSE)’s listed companies during 2010 to 2016. To review the research hypothesis, pooled/panel model regression analysis was applied. The findings indicate that there is a direct relationship between investors’ sentiments (based on Arms index) and different criteria of stock price crash risk. In other words, as Arms index, an indicator of investors’ sentiments rises, 

کلیدواژه‌ها [English]

  • Investor Sentiment
  • Arms Index
  • The risk of Falling Stock Prices

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