##plugins.themes.bootstrap3.article.main##

مهدیه رضاقلی زاده مجید آقایی

چکیده

با توجه به این که کشور ایران طی سال‌های اخیر با نوسانات عمده‌ای در نرخ ارز مواجه بوده و این نوسانات نیز دارای نقش اساسی در تعیین میزان بازدهی صنایع صادراتی و وارداتی کشور هستند، در این مطالعه با استفاده از نظریات اقتصادی و با تکیه بر مدل تصحیح خطای پانل (PECM) و آزمون‌های هم انباشتگی و علیت پانل ، رابطه کوتاه مدت و بلند مدت بین نرخ ارز و بازدهی سهام صنایع عمده صادراتی و وارداتی فعال در بورس اوراق بهادار تهران با استفاده از داده‌های ماهیانه طی دوره زمانی 94-1384 مورد آزمون و بررسی قرار گرفته است و به صورت کمّی برآورد خواهد گردید. برآورد ضرایب بلندمدت در این مطالعه با استفاده از روش حداقل مربعات معمولی پویا (DOLS) و برآورد ضرایب کوتاه مدت و روابط علیت با استفاده از روش گروه میانگین ادغام شده (PMG) انجام می‌گیرد. نتایج به دست آمده بیانگر این است که یک رابطه تعادلی بلندمدت بین متغیر نرخ ارز و سایر متغیرهای مؤثر بر بازده سهام - شامل بازده مازاد بازار، قیمت نفت خام، نرخ تورم و نرخ بهره- با بازدهی سهام صنایع مورد مطالعه طی دوره مورد بررسی وجود دارد. یافته‌ها در گروه صنایع صادرکننده نشان می‌دهد که نرخ ارز تأثیر مثبتی بر بازده سهام داشته و یک رابطه دو طرفه بین این دو متغیر وجود دارد؛ در حالی که یافته‌های معادلات برآورد شده در گروه صنایع وارد کننده نشان دهنده یک رابطه دوطرفه منفی بین نرخ ارز و بازده سهام صنایع مذکور است.

جزئیات مقاله

مراجع
[1] Bakhshani, S. (2016). A Study of the Effect of Exchange Rate Changes on Stock Prices and P/E Ratio by Using SEM-PLS. Quarterly Journal of Fiscal and Economic Policies. Volume 3, Issue 12, Page 149-164. (In Persian)
[2] Banerjee, A., 1999. Panel data unit roots and co integration: an overview. Oxford Bulletin of Economics and Statistics 61, 607–629.
[3] Bello, Zakri. (2013). “association between exchange rates and stock returns”. Investment Management and Financial Innovations, Volume 10, Issue 3.
[4] Bhattacharya, B. & J, Mukherjee. (2002). "Causalrelationship Between Stock Market and ExchangeRate, Foreign Exchange Reserves and Value of Trade Balance : A Case Study for India". http://www.igidr. ac.in /~money/basabi
[5] Breitung, J., 2000. The local power of some unit root tests for panel data. Advances in Econometrics 15, 161–177.
[6] Chinzara, Z. (2011). “ Macroeconomic Uncertainty and Conditional Stock Market Volatility in South Africa”. South African Journal of Economics, 79 (1), pp. 27-49.
[7] Eslamloiean, K,. & zare, H. (2007). The Impact of Macro Variables and Alternative Assets on Stock Price Movement in Iran: An ARDL Model. Volume 8, Issue 29, Page 17-46. (In Persian)
[8] Ghalibaf Asl, H. (2002). The Effect of Exchange Rate on the Value of Company in Iran. MA Thesis, Management Faculty, University of Tehran. (In Persian)
[9] Goriave, Alexei. (2004). " Risk factors in the Russian stock market". Working Paper, New Economic School.
[10] Gunsel, Nil. & Çukur, Sadok. (2007). “The Effects of Macroeconomic Factors on the London Stock Returns: A Sectoral Approach”. International Research Journal of Finance and Economics, Issue 10: 140- 152.
[11] Heidari, H., & Bashiri, S. (2012). Investigating The Relationship Between Real Exchange Rate Uncertainty and Stock Price Index In Tehran Stock Exchange Using VAR-GARCH Models. Journal of Economic Modeling Research. Issue 3, issue 9, Page 71-92.
[12] Ihsan, Anjum. Baloch, Qadar Bakhsh and Kakakhel, Shahid Jan. (2015). “ Relationship between Exchange Rates and Stock Market Index: Evidence from the Pakistani Stock Market”. Abasyn Journal of Social Sciences. Vol: 8 Issue: 1
[13] Im, .S., Pesaran, H., Shin, Y., 2003.Testing for unit roots in heterogeneous panels. Journal of Econometrics115, 53–74.
[14] Karamustafa, Osman. & Kucukkale, Yacup. (2004). “Long run Relationships Between Stock Market Returns And Macroeconomic Performance: Evidence from Turkey”. Economic Working Paper Archive at Wustl.
[15] Karimzadeh, M. (2006). Examination Long Run Relationship Between Stock Price Index and Monetary Macroecnomic Variables by Using Cointegration Techniqu in Economy of Iran. Economic Research. Volume 8, Issue 26, Page 41-54. (In Persian)
[16] Kennedy. K and Nourizad. F. (2016). “Exchange rate volatility and its effect on stock market volatility”. Int. J. Hum. Cap. Urban Manage., 1(1): 37-46, Winter 2016, DOI: 10.7508/ijhcum.2016.01.005
[17] Lawal, M.; Ijirshar, U.V., (2015). “Empirical analysis of exchange rate and Nigeria stock market performance”. Int. J. Sci. Res., 4(4): 1592-1600.
[18] Levin, A., Lin, C.F., 1993. Unit Root Tests in Panel Data: New Results. Discussion paper. Department of Economics, UC-San Diego.
[19] Levin, A., Lin, C.F., Chu, C., 2002. Unit root tests in panel data: asymptotic and finite sample properties. Journal of Econometrics 108, 1–24.
[20] Lim, S.Y.; Sek, S.K., (2014). “Exploring the inter-relationship between the volatilities of exchange rate and stock return. Procedia Econom. Financ”, 14: 367–376.
[21] Ozturk, I., 2010. A literature survey on energy–growth nexus. Energy Policy 34 (1), 340–349.
[22] Pesaran, M.H., Shin, Y., Smith, R., 1999. Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association 94, 621–634.
[23] Pesaran, M., 2004. General Diagnostic Tests for Cross Section Dependence in Panels. Cambridge Working Papers in Economics no. 435. University of Cambridge.
[24] Pesaran, M.H., 2007. A simple panel unit root test in presence of cross section dependence. Journal of Applied Econometrics 22, 265–312.
[25] Phylaktis, Kate. & Ravazzolo, Fabiola. (2005). “Stock prices and exchange rate dynamics”. Journal of International Money and Finance, Volume 24, Issue 7, pp 1031-1053
[26] Poitras, M. (2004). “The Impact of MacroeconomicAnnouncements on Stock Prices: In Search of StateDependence”. Southern Economic Journal. Vol. 70,No.3, PP: 549-565.
[27] Sajadi, S, H., Farazmand, H., & Alisofi, H. (2010). Investigating the Relationship between Macroeconomic Variables and stock returns index in Tehran Stock Exchange. Journal of Economic Science. Volume10, issue 2 (39), Page 123-150. (In Persian)
[28] Sajadi, H. Farazman, H., & Badpa, B. (2011). Application of the Arbitrage Pricing theory Using Macroeconomic Variables in the Tehran Stock Market Exchange. Journal of Economic Research (Tahghighat-E-Eghtesadi). Volume 46, Issue 1, Page 45-66. (In Persian)
[29] Taghavi, M,. Mohammadi, T,. & Barzandeh, M. (1999). Investigation Effective Economic Variables on Tehran Stock Exchange Index. The Journal of Planning and Budgeting. Volume 40 & 41, Page 31-60. (In Persian)
[30] Taghinejad Omran, V., & Haji Babaei, Vali. (2014). The Effect of the Real Exchange Rate Changes on the Financial Instability in Selected Developing Countries. Quarterly Journal of Fiscal and Economic Policies. 3, 2 (5), Page 121-134. (In Persian)
[31] Tehrani, R., Darikandeh, A., Navabi Zand, K., Arian, A., & Hoseini, S,H. (2013). Investigating the Relationship between Exchange Rate Fluctuations and stock returns of Exporer Companies Accepted in Tehran Stock Exchange . Financial Knowledge of Securities Analysis. Volume 6,(17:1), Page 87-101. (In Persian)
[32] Theriou, Nikolaos, G., Aggelidis, Vassilios, P. & Maditinos, Dimitrios, Sevic, Zeljko. (2010). “Testing the Relation Between Beta and Returns in the Athens Stock Exchange”. Managerial Finance, Vol. 36 No. 12; 1043-1056.
[33] Tunali, Halil. (2010). “The Analysis of Relationships between Macroeconomic Factors and Stock Returns: Evidence from Turkey Using VAR Model”. International Research Journal of Finance and Economics, Issue 57: 169- 182.
[34] Tursoy, Turgut., Gunsel, Nil. & Rjoub, Husam. (2008). "Macroeconomic Factors, the APT and the Istanbul Stock Market". International Research Journal of Finance and Economics, Issue 22, 49- 57.
[35] Wongbangpo, Praphan. & Sharma, Subhash, C. (2002). “Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries”. Journal of Asian Economics, Volume 13, Issue 1, pp 27-51
[36] Westerlund, J., 2007. Testing for error correction in panel data. Oxford Bulletin of Economics and Statistics 69 (6), 709–748.
[37] www.cbi.ir
[38] www.eia.gov (U.S. Energy Information Administration)
[39] www.irbourse.com
[40] Zare, H., & Rezaei, Z. (2006). The Effects of ForeignExchange, Gold Coin and Housing Markets on Tehran Stock Market : A Vector Error Correction Model. Research Journal (University of Esfahan). Volume21: issue 2, Page 99-112. (In Persian)
[41] Zhao, Hua. (2010). “ Dynamic Relationship Between Exchange Rate and Stock Price: Evidence from China”. Research in International Business and Finance, 24, pp. 103-112
ارجاع به مقاله
رضاقلی زادهم., & آقاییم. (۱۳۹۷-۰۲-۱۰). مقایسه تأثیر پذیری بازدهی سهام صنایع منتخب صادراتی و وارداتی از نوسانات نرخ ارز. پژوهش های اقتصاد پولی، مالی, 25(15), 93-132. https://doi.org/10.22067/pm.v25i15.56874
نوع مقاله
پژوهشی