پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 25 |
| تعداد شمارهها | 938 |
| تعداد مقالات | 7,697 |
| تعداد مشاهده مقاله | 12,639,558 |
| تعداد دریافت فایل اصل مقاله | 8,999,970 |
تاثیر متغیر در زمان عوامل کلان اقتصادی بر احساس سرمایهگذار: بررسی نقش تحریم، برجام و کووید 19 | ||
| راهبرد مدیریت مالی | ||
| مقاله 6، دوره 12، شماره 2 - شماره پیاپی 45، تیر 1403، صفحه 133-156 اصل مقاله (963.26 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2023.44964.2863 | ||
| نویسندگان | ||
| منیژه رامشه* 1؛ اسماعیل جلیلی2؛ محدثه یوسفی3 | ||
| 1استادیار، گروه حسابداری، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران | ||
| 2دکتری مدیریت استراتژیک، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران | ||
| 3کارشناسی ارشد حسابداری، دانشکده علوم اقتصادی و اداری دانشگاه قم، قم، ایران | ||
| چکیده | ||
| احساس سرمایهگذار نقشی مهم در بازارهای مالی داشته و مطالعه عوامل موثر بر آن حائز اهمیت است. از این رو پژوهش حاضر با استفاده از روش TVP-SVAR-SV به مطالعه اثر متغیر در زمان عوامل کلان اقتصادی بر احساس سرمایهگذار در بورس اوراق بهادار تهران در دوره زمانی 1401:3-1383:1 با تواتر فصلی پرداخته است. یافتهها نشان داد تأثیر شوکهای عوامل کلان بر احساس سرمایهگذاران در کوتاهمدت منفی بوده است. بعد از 1393:1، نرخ ارز اثری مثبت بر احساس سرمایهگذار در میانمدت داشته است. تولید ناخالص داخلی و تورم نیز اثری مثبت در میانمدت داشتهاند. نوسان واکنش احساس سرمایهگذار به شوک قیمت نفت در کوتاهمدت، بیش از سایر عوامل بوده و بیشترین واکنش مربوط به افت قیمت نفت در سال 1387 بوده است. نقدینگی در مقایسه با سایر عوامل، بیشترین تاثیر بر احساس سرمایهگذار را در کوتاهمدت، میانمدت و بلندمدت داشته است. مطالعه واکنش احساس سرمایهگذار به شوک عوامل کلان اقتصادی در سه رویداد تحریم سال 1391، برجام و همزمانی کووید 19 و خروج آمریکا از برجام نشان میدهد واکنش احساس سرمایهگذار به شوک هر یک از عوامل در هر سه رویداد مشابه بوده و هیچ عاملی اثر پایدار مثبت یا منفی بر احساس سرمایهگذاران نداشته است. در رویداد اول (سوم) نسبت به دو رویداد دیگر، واکنش احساس سرمایهگذار به شوک متغیرهای کلان (جز تورم) قویتر (ضعیفتر) بوده است. یافتهها نشان داد استفاده از رویکردهای ایستا ممکن است نتایج گمراهکننده در خصوص اثر عوامل کلان اقتصادی بر احساس سرمایهگذار به همراه داشته باشد. بعلاوه اثرپذیری قوی احساس سرمایهگذار از خود در مقایسه با متغیرهای کلان، رفتار سرمایهگذاران را بهتر توضیح میدهد. | ||
| کلیدواژهها | ||
| عوامل کلان اقتصادی؛ احساس سرمایهگذار؛ تحریم؛ کووید 19؛ TVP-SVAR-SV | ||
| عنوان مقاله [English] | ||
| Time-Varying Effect of Macroeconomic Factors on Investor Sentiment: Examining the Role of Sanction, JCPOA and Covid-19 | ||
| نویسندگان [English] | ||
| Manijeh Ramsheh1؛ Esmaeel Jalili2؛ Mohaddese Yousefi3 | ||
| 1Assistant Professor, Department of Accounting, Faculty of Economics and Administrative Sciences, University of Qom, Qom, Iran | ||
| 2PhD in Strategic Management, Faculty of Management and Economics, Tarbiat Modares University.Tehran.Iran | ||
| 3Master of Sciene in Accounting, Faculty of Economics and Administrative Sciences, University of Qom, Qom, Iran | ||
| چکیده [English] | ||
| Investor sentiment plays an important role in financial markets and it is important to study the factors affecting it. Therefore, this paper, using the TVP-SVAR-SV method, has studied the time-varying effect of macroeconomic factors on investor sentiment in TSE during 2004-2 to 2022-4 seasonally. The findings showed that the impact of macroeconomic factor shocks on investors' sentiment is negative in the short term. After 2014-2, the exchange rate has had a positive effect on investor sentiment in the medium term. GDP and inflation also had a positive effect in the medium term. The fluctuation of investor reaction to the oil price shock in the short term is more than other macroeconomic factors and the biggest reaction was related to the drop in oil price in 2008. Compared to other macroeconomic factors, liquidity has had the strongest impact on investor sentiment in the short, medium and long term. The study of investor sentiment reaction to the shocks of macroeconomic factors in the three events of sanctions in 2012, the JCPOA and the coexistence of Covid-19 and the withdrawal of the United States from the JCPOA shows that the sentiment response to the shock of each of the factors in all three events was similar and no factor has had a lasting positive or negative effect on investor sentiment. In the first (third) event, compared to the other two events, the sentiment reaction to the shock of macro variables (except inflation) was stronger (weaker). The findings showed that the use of static approaches may lead to misleading results regarding the effect of macroeconomic factors on investor sentiment. In addition, the strong effectiveness of the investor's sentiment of self compared to the macroeconomic variables, explains the investors' behavior better. | ||
| کلیدواژهها [English] | ||
| Macroeconomic Factors, Investor Sentiment, Sanction, Covid-19, TVP-SVAR-SV | ||
|
سایر فایل های مرتبط با مقاله
|
||
| مراجع | ||
|
Anand, B., & Paul, S., (2021). "Oil shocks and stock market: revisiting the dynamics". Energy Econ. 96, 105111.
Angeletos, G.-M., Collard, F., & Dellas, H. (2018). "Quantifying confidence". Econometrica, 86 (5), 1689–1726.
Apergis, N., Cooray, A., & Rehman, M. U. (2018). "Do energy prices affect US investor sentiment?". Journal of Behavioral Finance, 19(2), 125-140.
Baker, M., & J. Wurgler. (2006). "Investor Sentiment and the Cross-section of Stock Returns". Journal of Finance, 61 (4), 1645–1680.
Baker, M., & J. Wurgler. (2007). "Investor Sentiment in the Stock Market". Journal of Economic Perspectives, 21 (2), 129–151.
Baker, M., & Wurgler, J. (2012). "Comovement and predictability relationships between bonds and the cross-section of stocks". Rev. Asset Pricing Stud, 2 (1), 57–87.
Barberis, N., Shlifer, A., & Vishny, R. (1998). "A Model of Investor Sentiment". Financial Economics, 49(3), 307-343.
Benhabib, J., Liu, X., & Wang, P. (2016). "Sentiments, financial markets, and macroeconomic fluctuations". Financial Economics, 120 (2), 420–443.
Cepni, O., & Gupta, R. (2021). "Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment". The North American Journal of Economics and Finance, 58, 101550.
Chen, Z., Lien, D., & Lin, Y. (2021). "Sentiment: the bridge between financial markets and macroeconomy". Economic Behavior & Organization, 188, 1177-1190.
Chavoshi, S. K., & Sharifi, A. (2023). "Modeling the impacts of OPEC oil price fluctuations on the Iranian investor's sentiments- nonlinear and time-varying parameter". Financial Economics, 16 (61), 45-68. (In Persian).
Chundakkadan, R., & Nedumparambil, E. (2021). "In search of COVID-19 and stock market behavior". Glob Financ J. 100639.
Chung, S. L., C. H. Hung, & C. Y. Yeh. (2012). "When does investor sentiment predict stock returns?". Journal of Empirical Finance, (19), 217-240.
Dehghan-Khavari, S., & Mir-Jalili, H. (2020). " The interaction of systematic risk with stock returns Tehran Stock Exchange". Financial Economics, 13(49), 257-282. (In Persian).
De Long, J., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). "Noise Trader Risk in Financial Markets". Journal of Political Economy, 98(4), 703-738.
Ding, Z., Liu, Z., Zhang, Y., & Long, R. (2017). "The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment". Applied energy, 187, 27-36.
Ebrahimi, M., & Shokri, N. (2011). "The Effect of Macroeconomic Variables on Stock Prices by Emphasizing the Role of Monetary Policy". Quarterly Journal of Economic Modeling, 5(13), 23-45. (In Persian).
Gharache, M., Alam-Tabriz, A., & Pazaki, M. (2012). "Investigating the application of Arbitrage Pricing Theory (APT) using macroeconomic variables in Tehran Stock Exchange". Financial Management Perspective, 1(4), 59-79. (In Persian).
Nartea, G. V., Bai, H., & Wu, J. (2020). "Investor sentiment and the economic policy uncertainty premium". Pacific-Basin finance journal, 64, 101438.
Gregory, R. P. (2021). "What determines manager and investor sentiment?". Journal of Behavioral and Experimental Finance, 30, 100499.
Herculano, M. C., & Lütkebohmert, E. (2023). "Investor sentiment and global economic conditions". Journal of Empirical Finance.
He, Z. (2020). "Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect". International Review of Economics & Finance, 66, 131-153.
Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015). "Investor sentiment aligned: a powerful predictor of stock returns". The Review of Financial Studies, 28 (3), 791–837.
Izadkhasti, H., Mohseni, R., & Soltani M. (2022). "Investigating Economic and Behavioral Factors Affecting on the Growth of Stock Price Index in the Tehran Stock Exchange". Monetary Financial Economics, 29(23), 47-71. (In Persian).
Jala, P. (2018). "Changing in the volatilities of Iran microstructure market by BARJAM". Financial Engineering Portfolio Management, 9(36), 75-98. (In Persian).
Jelilov, G., Iorember, P. T., Usman, O., & Yua, P. M. (2020). "Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID‐19 pandemic matter?". Journal of Public Affairs, 20(4), e2289.
Khedri Gharibvand, R., & Sinayi, H. (2023). "The impact of investors' emotions on economic variables using the index of investors' emotional behavior in Tehran Stock Exchange". Budget and Finance Strategic Research Quarterly, 4(1), 11-35. (In Persian).
Kim, D., & Na, H. (2018). "Investor sentiment, anomalies, and macroeconomic conditions". Asia‐Pacific Journal of Financial Studies, 47(6), 751-804.
Kim, K., Ryu, D., & Yang, H. (2021). "Information uncertainty, investor sentiment, and analyst reports". International Review of Financial Analysis, 77, 101835.
Kim, Y., & Lee, K. Y. (2022). "Impact of investor sentiment on stock returns". Asia‐Pacific Journal of Financial Studies, 51(1), 132-162.
Kurov, A. (2010). "Investor sentiment and the stock market’s reaction to monetary policy". Journal of Banking and Finance, 34, 139-149.
Le, T. H., & Luong, A. T. (2022). "Dynamic spillovers between oil price, stock market, and investor sentiment: Evidence from the United States and Vietnam". Resources Policy, 78, 102931.
Levchenko, A. A., & Pandalai-Nayar, N. (2015). "TFP, News, and Sentiments: The International Transmission of Business Cycles". Working Paper. National Bureau of Economic Research.
Li, Z., Huang, Z., & Failler, P. (2022). "Dynamic correlation between crude oil price and investor sentiment in China: Heterogeneous and asymmetric effect". Energies, 15(3), 687.
Liu, S. (2015). "Investor Sentiment and Stock Market Liquidity". Behavioral Finance, 16(1), 51-67.
Lopes-Cabarcos, M.A., & Perez-Pico, A.M., Vazque-Rodriguez, P., & Lopez-Perez, M. L. (2020). "Investor Sentiment in The Theoretical Field of Behavioural Finance". Economic Research- Ekonomska Istrazivanja, 33(1), 2101-2119.
Mascio, D. A., Molyboga, M., & Fabozzi, F. J. (2023). "The battle of the factors: Macroeconomic variables or investor sentiment?". Journal of Forecasting.
Martin, A., & Ventura, J. (2012). "Economic growth with bubbles". American Economic Review, 102 (6), 3033–3058.
Momeni, A., & Rezai-Qale, Z. (2018). "The impact of the economic effects on the investors sentiment tendencies at Tehran stock exchange". The fifth national conference on applied Research in Management and Accounting. (In Persian).
Nakajima, J., (2011). "Time-varying parameter VAR model with stochastic Volatility: an overview of methodology and empirical applications". Monetary Econ. Stud. 29, 107–142.
Nakajima, J., Kasuya, M., & Watanabe, T., (2011). "Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy". J. Japan. Int. Econ. 25 (3), 225–245.
Nazifi Fard, K., & Motavasseli, A. (2022). "The Effect of Sectoral Sanctions on Price Returns of Targeted Firms: Evidence from Tehran Stock Exchange". Planning and Budgeting, 27(2), 89-125. (In Persian).
Nguyen, N. H., Nguyen, H. D., VO, L. T. K., & Tran, C. Q. K. (2021). "The impact of exchange rate on exports and imports: Empirical evidence from Vietnam". The Journal of Asian Finance, Economics and Business, 8(5), 61-68.
Odean, T. (1998). "Are Investors Reluctant to Realize Their Losses?" Journal of Finance, 53(5), 1775-1798.
Ramsheh, M., Aref-Manesh, Z., & Khastar, Zohre. (2023). "Investor Sentiment and auditor's Going Concern Opinion: Examining the Accuracy of the Auditor's Opinion and Market Reaction to it". Empirical Research in Accounting. (In Persian).
Renault, T. (2017). "Intraday Online Investor Sentiment and Return Patterns in The US Stock Market". Journal of Banking & Finance, 84, 25-40.
Seok, S. I., Cho, H., & Ryu, D. (2019). "Firm-specific investor sentiment and daily stock returns". The North American Journal of Economics and Finance, 50, 100857.
Shahzad, S. J. H., Bouri, E., Raza, N., & Roubaud, D. (2019). "Asymmetric impacts of disaggregated oil price shocks on uncertainties and investor sentiment". Review of Quantitative Finance and Accounting, 52, 901-921.
Shen, J., J. Yu, & S. Zhao. (2017). "Investor sentiment and economic forces". Journal of Monetary Economics, 86, 1-21.
Shirzadi, A., Rahimzade, A., Naghilo, A., & Zamani, Z. (2022). " Investigation the impact of US Unilateral Withdraw from JCPOA on the Market Return of Export-Oriented Companies". Tehran Stock Exchange by Emphasis on herding Behavior. 10(39), 173-194. (In Persian).
Sibley, S. E., Y. Wang, Y. Xing, & X. Zhang. (2016). "The information content of the sentiment index". Journal of Banking and Finance, (62), 164-179.
Sims, C. A., (1986). "Are forecasting models useable for policy analysis?". Federal Reserve Bank of Minneapolis, 10 (1), 2–16.
Ugurlu‐Yildirim, E., Kocaarslan, B., & Ordu‐Akkaya, B. M. (2021). "Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis". International Journal of Finance & Economics, 26(2), 1724-1738.
Varahrami, v., Sarabadani, A, & Nejad Ghorbani, H. (2020). "Short run Psychological Effects of Joint Comprehensive Plan of Action on Market Index Return of Tehran Stock Exchange". The Macro and Strategic Policies, 7, 26-49. (In Persian).
Wang, M., Zhao, W., & Yin, L. (2022). "Economic policy uncertainty, investor sentiment, and voluntary disclosure on internet platform". Asia-Pacific Journal of Accounting & Economics, 29(4), 896-915.
Yang, C., & Zhou, L. (2015). "Investor trading behavior, investor sentiment and asset prices". The North American Journal of Economics and Finance, 34, 42-62.
Yosofinezhad, M., Sharifi-Renani, H., & Daei-Karimzadeh, S. (2022). "Analysis of the the Impact of Symmetric and Asymmetric Shocks of Oil Price on Investor Sentiment in IRAN: Markovs-Switching Approach". Financial Knowledge of Securities Analysis, 14(52), 91-104. (in Persian).
Zeinedini, Sh., Karimi, M., & Khanzadi, A. (2020). "Investigating the effect of oil price shocks on the performance of the Iranian stock market". Financial Economics (Financial Economics and Development), 14(50), 145-169. (In Persian).
Zhang, B. (2019). "Economic policy uncertainty and investor sentiment: Linear and nonlinear causality analysis". Applied Economics Letters, 26(15), 1264-1268. | ||
|
آمار تعداد مشاهده مقاله: 715 تعداد دریافت فایل اصل مقاله: 327 |
||
