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اثربخشی دولت، کیفیت قانون و عملکرد بازار سهام: رهیافت رگرسیون کوانتایل | ||
| راهبرد مدیریت مالی | ||
| مقاله 7، دوره 11، شماره 2 - شماره پیاپی 41، تیر 1402، صفحه 161-182 اصل مقاله (1.23 M) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2023.40276.2683 | ||
| نویسندگان | ||
| ضحی سواری1؛ محمدرضا رستمی* 2؛ میر فیض فلاح شمس3؛ جعفر جمالی4 | ||
| 1دانشجوی دکتری رشته مدیریت مالی ،دانشکده مدیریت و اقتصاد، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران | ||
| 2استادیار و عضو هیئت علمی دانشگاه الزهرا، گروه مدیریت مالی و حسابداری، و استاد مدعو واحد علوم و تحقیقات، دانشگاه آزاد اسلامی ، تهران، ایران | ||
| 3دانشیار و عضو هیئت علمی دانشگاه آزاد اسلامی واحد تهران مرکز، گروه مدیریت مالی و حسابداری، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی ، تهران، ایران | ||
| 4استادیار، گروه مدیریت مالی و حسابداری، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی ، تهران، ایران | ||
| چکیده | ||
| بازارهای مالی نقش تاثیرگذاری در توسعه اقتصادی کشورها ایفا نموده و کشورهای پیشرفته اغلب بازارهای مالی پویاتر و قوی‌تری دارند. به دلیل اهمیت این بازار در فرایند توسعه اقتصادی، مطالعات متعددی به بررسی نقش بازارهای مالی در اقتصاد و عوامل تاثیرگذار بر عملکرد آن پرداختند. این مطالعات، اغلب تاثیر مثبت بازاهای مالی بر رشد اقتصادی کشورها را تایید نمودند. یکی از مهمترین قسمت بازارهای مالی، بازار سهام بوده و در اغلب کشورها، در کنار بخش بانکی، نقش موثری در تخصیص منابع مالی ایفا می‌کند. عوامل متعددی می‌تواند بر بازدهی بازار سهام موثر باشد. یکی از این موارد، اثربخشی دولت، کیفیت قانونگذاری و حاکمیت قانون می‌باشد. از این رو، هدف پژوهش حاضر مطالعه نقش اثربخشی دولت، کیفیت قانونگذاری و حاکمیت قانون بر بازدهی سهام در ایران و کشورهای منتخب درحال توسعه می‌باشد. بدین منظور، از داده‌‌های دوره زمانی 2000- 2021 و روش رگرسیونی کوانتایل استفاده شده است. براساس نتایج برآورد مدل، در سطح 5 درصد، اثربخشی دولت، کیفیت قانون و حاکمیت قانون بر بازدهی بازار سهام تاثیر مثبت دارد. همچنین اثرات تورم، درآمد سرانه، نرخ ارز و رشد تولیدات صنعتی بر بازدهی بازار سهام مثبت بوده است. در مقابل، تاثیر قیمت نفت خام و نرخ بهره بازدهی بازار سهام منفی بوده و در سطح 5 درصد به لحاظ آماری صحیح نمی‌باشد. | ||
| کلیدواژه‌ها | ||
| حاکمیت قانون؛ کیفیت قانونگذاری؛ عملکرد بازار سهام؛ ایران؛ رگرسیون کوانتایل | ||
| عنوان مقاله [English] | ||
| Government Effectiveness, Regulatory Quality and Stock Market Performance: A quantile regression approach | ||
| نویسندگان [English] | ||
| Zoha Savari1؛ Mohammadreza Rostami2؛ Mirfeiz Fallahshams3؛ Jafar Jamali4 | ||
| 1faculty of management and economics, Islamic Azad University Science and Research Branch, Tehran, Iran | ||
| 2Assistant Prof Faculty of Management , University of Alzahra , Tehran, Iran | ||
| 3Islamic Azad University Tehran Branch/ Finance associate professor | ||
| 4Islamic Azad University E-Campus, Tehran, Iran | ||
| چکیده [English] | ||
| Financial markets play an influential role in economic development and most developed countries have more dynamic and stronger financial markets. Due to this market’s crucial role in the process of economic development, several studies have evaluated the role of financial markets in economy and Its effects on performance. These studies have often confirmed the positive impact of financial markets on the economic growth of countries. One of the most important components of financial markets is the stock market which in most countries, along with the banking sector, plays an effective role in financial resources allocation. Several factors can affect stock market returns. One of these is the government effectiveness, the regulatory quality, and the rule of law. Therefore, the aim of the present study is to study the role of government effectiveness, Regulatory quality and rule of law on stock returns in Iran and selected developing countries. For this purpose, the data of the period 2021-2000 and the quantile regression have been used. Based on the model estimation results, at a significant level of 5%, government effectiveness, regulatory quality and rule of law have a positive and significant effect on stock market returns. Also, the effects of inflation, per capita income, exchange rate and growth of industrial production on stock market returns have been positive and significant. In contrast, the impact of crude oil prices and interest rates on stock market returns is negative and is not statistically significant at the 5% level. | ||
| کلیدواژه‌ها [English] | ||
| Rule of Law, Regulatory Quality, Stock Market Performance, Iran, Quantile Regression | ||
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