مقایسه تأثیر پذیری بازدهی سهام صنایع منتخب صادراتی و وارداتی از نوسانات نرخ ارز

نوع مقاله : پژوهشی

نویسندگان

1 مازندران

2 دانشگاه مازندران

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.

کلیدواژه‌ها


[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
ارسال نظر در مورد این مقاله
نام را وارد کنید.
نشانی پست الکترونیکی را به درستی وارد کنید.
وابستگی سازمانی را به درستی وارد کنید.
توضیحات را وارد کنید (حداقل 50 حرف)
CAPTCHA Image
شناسه امنیتی را به درستی وارد کنید.

  • تاریخ دریافت 29 خرداد 1395