دوره 28، شماره 1 - ( بهار 1402 )                   دوره28 شماره 1 صفحات 75-53 | برگشت به فهرست نسخه ها

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Osmani F, Cheshomi A, Salehnia N, Ahmadi Shadmehri M T. (2023). The Reaction of Stock Returns of Iranian Different Industries to Inflation and Interest Rates with the Panel-ARDL Approach. JPBUD. 28(1), 53-75. doi:10.61186/jpbud.28.1.53
URL: http://jpbud.ir/article-1-2155-fa.html
عثمانی فریبا، چشُمی علی، صالح نیا نرگس، احمدی شادمهری محمدطاهر. واکنش بازده سهام صنایع مختلف ایران به تورم و نرخ بهره با رویکرد Panel-ARDL فصلنامه برنامه ریزی و بودجه 1402; 28 (1) :75-53 10.61186/jpbud.28.1.53

URL: http://jpbud.ir/article-1-2155-fa.html

واکنش بازده سهام صنایع مختلف ایران به تورم و نرخ بهره با رویکرد Panel-ARDL
فریبا عثمانی1 ، علی چشُمی1 ، نرگس صالح نیا1 ، محمدطاهر احمدی شادمهری* 2
1- گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، ایران.
2- گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، ایران. ، Shadmhri@um.ac.ir
چکیده:   (1642 مشاهده)
با توجه به روند صعودی نرخ تورم و تثبیت نسبی نرخ بهره اسمی در ایران، این پرسش اهمیت می‌یابد که بازده سهام صنایع مختلف چه واکنشی نسبت به این دو متغیر اقتصاد کلان داشته‌اند؟ در این پژوهش، به صورت تجربی با داده‌های ماهانه از فروردین 1389 تا اسفند 1400 با استفاده از مدل Panel-ARDL تاثیر تورم و نرخ بهره بر بازده سهام صنایع مختلف ایران بررسی می‌شود. ابتدا برای امکان مقایسه بین شاخص‌های سهام صنایع مختلف، این شاخص‌ها بر اساس ماه پایه همگن شد و سپس مدل برآورد گردید. نتایج تجربی نشان می‌دهد که تورم در کوتاه‌مدت و بلندمدت اثر مثبت و معناداری بر بازده اسمی سهام صنایع مختلف در دوره مورد مطالعه دارد، اما تورم بر بازده واقعی در بلندمدت اثر منفی و معناداری دارد. نرخ بهره اسمی در کوتاه‌مدت و بلندمدت سبب کاهش بازده اسمی و واقعی سهام صنایع مختلف می‌شود. علاوه بر این، متغیرهای نرخ ارز، قیمت جهانی نفت و نقدینگی نیز به عنوان متغیرهای کنترلی در نظر گرفته شده ‏اند. این نتایج، به سرمایه‌گذاران نشان می‌دهد سهام در بلندمدت نتوانسته محافظ مناسبی در مقابل تورم باشد و مقامات پولی هنگام مدیریت نرخ بهره باید به اثرات آن بر بازار سهام توجه کنند.
واژه‌های کلیدی: تورم، نرخ بهره، شاخص سهام، صنایع، رویکرد Panel-ARDL
متن کامل [PDF 797 kb]   (467 دریافت)    
نوع مطالعه: پژوهشي | موضوع مقاله: اقتصاد مالی
دریافت: 1401/7/21 | پذیرش: 1401/12/3 | انتشار الکترونیک: 1402/3/27
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