نرخ ارز، نرخ بهره و رفتارگله‌ای در بازار سهام

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشیار گروه اقتصاد دانشکده علوم اقتصادی و اداری دانشگاه مازندران، بابلسر، ایران

2 کارشناس ارشد گروه اقتصاد دانشکده علوم اقتصادی و اداری دانشگاه مازندران، بابلسر، ایران

10.48308/jem.2024.234719.1894

چکیده

رفتارگله‌ای در بازارهای مالی به عنوان یکی از انواع تورش‌های رفتاری در بین سرمایه‌گذاران تلقی شده و بررسی عوامل اثرگذار بر آن،می‌تواند در تصمیم گیری‌های سرمایه‌گذاران و ایجاد کارایی در بازارهای مالی موثر واقع شود. با توجه به اهمیت این موضوع در پژوهش حاضر، رفتارگله‌ای در بورس اوراق بهادار تهران با به کارگیری روش پراکندگی مطلق مقطعی طی دوره زمانی 1401-1384 مورد آزمون قرار می‌گیرد. در ادامه نیز، تأثیر تغییرات نرخ ارز و نرخ بهره بر رفتار گله‌ای در وضعیت صعودی و نزولی بازار سهام آزمون می‌گردد. نتایج تحقیق نشان می‌دهد که در کل دوره زمانی مورد مطالعه، افزایش نرخ ارز و افزایش نرخ بهره منجر به رفتار گله‌ای در بازار می‌شود، در حالی که با کاهش نرخ ارز و کاهش نرخ بهره، رفتار گله‌ای مشاهده نمی‌شود. به همین ترتیب، نتایج به دست آمده در بازار نزولی سهام (خرسی) نیز مشابه نتایج برآورد در کل دوره است، در حالی که این پدیده در بازار صعودی سهام (گاوی) مشاهده نمی‌شود و لذا می‌توان نتیجه گرفت که اثرات افزایش نرخ ارز و افزایش نرخ بهره روی رفتار گله‌ای، عمدتا در بازارهای نزولی آشکار می‌شود.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Exchange Rate, Interest Rate and Herd Behavior in the Stock Market

نویسندگان [English]

  • Mahdieh Rezagholizadeh 1
  • Ali Telikani 2
1 Associate Professor of Economics, Faculty of Economics and Administrative Sciences, University of Mazandaran, Babolsar, Iran
2 MA in Economics, Faculty of Economics and Administrative Sciences, University of Mazandaran, Babolsar, Iran
چکیده [English]

The herding behavior in financial markets is perceived as one of the behavioral biases among investors, and investigating the influential factors effecting it, can have significant impact on investors' decision-making and efficiency in financial markets. Given the importance of this topic, in this study, herding behavior in the Tehran Stock Exchange is examined using the Cross-Sectional Absolute Dispersion (CSAD) method during the period 2005 to 2021. Furthermore, the impact of changes in exchange rates and interest rates on herding behavior in both bullish and bearish market conditions is tested. The results indicate that in the overall period, an increase in the exchange rate and interest rate lead to herd behavior in the market, while with a decrease in the exchange rate and interest rate, no herd behavior is observed. Similarly, the obtained results in bearish markets are similar to the estimates in the overall period, while this phenomenon is not observed in bullish markets. Therefore, it can be concluded that the effects of increasing exchange rates and interest rates on herding behavior are mainly evident in bearish markets.

کلیدواژه‌ها [English]

  • Herd Behavior
  • Exchange rate
  • interest rate
  • Stock Market
  • Cross - Sectional Absolute Dispersion

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