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تاثیر متغیر در زمان عوامل کلان اقتصادی بر احساس سرمایه‌گذار: بررسی نقش تحریم، برجام و کووید 19 | ||
| راهبرد مدیریت مالی | ||
| مقاله 6، دوره 12، شماره 2 - شماره پیاپی 45، تیر 1403، صفحه 133-156 اصل مقاله (963.26 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2023.44964.2863 | ||
| نویسندگان | ||
| منیژه رامشه* 1؛ اسماعیل جلیلی2؛ محدثه یوسفی3 | ||
| 1استادیار، گروه حسابداری، دانشکده علوم اقتصادی و اداری، دانشگاه قم، قم، ایران | ||
| 2دکتری مدیریت استراتژیک، دانشکده مدیریت و اقتصاد، دانشگاه تربیت مدرس، تهران، ایران | ||
| 3کارشناسی ارشد حسابداری، دانشکده علوم اقتصادی و اداری دانشگاه قم، قم، ایران | ||
| چکیده | ||
| احساس سرمایه‌گذار نقشی مهم در بازارهای مالی داشته و مطالعه عوامل موثر بر آن حائز اهمیت است. از این رو پژوهش حاضر با استفاده از روش TVP-SVAR-SV به مطالعه اثر متغیر در زمان عوامل کلان اقتصادی بر احساس سرمایه‌گذار در بورس اوراق بهادار تهران در دوره زمانی 1401:3-1383:1 با تواتر فصلی پرداخته است. یافته‌ها نشان داد تأثیر شوک‌های عوامل کلان بر احساس سرمایه‌گذاران در کوتاه‌مدت منفی بوده است. بعد از 1393:1، نرخ ارز اثری مثبت بر احساس سرمایه‌گذار در میان‌مدت داشته است. تولید ناخالص داخلی و تورم نیز اثری مثبت در میان‌مدت داشته‌اند. نوسان واکنش احساس سرمایه‌گذار به شوک قیمت نفت در کوتاه‌مدت، بیش از سایر عوامل بوده و بیشترین واکنش مربوط به افت قیمت نفت در سال 1387 بوده است. نقدینگی در مقایسه با سایر عوامل، بیشترین تاثیر بر احساس سرمایه‌گذار را در کوتاه‌مدت، میان‌مدت و بلندمدت داشته است. مطالعه واکنش احساس سرمایه‌گذار به شوک عوامل کلان اقتصادی در سه رویداد تحریم سال 1391، برجام و همزمانی کووید 19 و خروج آمریکا از برجام نشان می‌دهد واکنش احساس سرمایه‌گذار به شوک هر یک از عوامل در هر سه رویداد مشابه بوده و هیچ عاملی اثر پایدار مثبت یا منفی بر احساس سرمایه‌گذاران نداشته است. در رویداد اول (سوم) نسبت به دو رویداد دیگر، واکنش احساس سرمایه‌گذار به شوک متغیرهای کلان (جز تورم) قویتر (ضعیف‌تر) بوده است. یافته‌ها نشان داد استفاده از رویکردهای ایستا ممکن است نتایج گمراه‌کننده در خصوص اثر عوامل کلان اقتصادی بر احساس سرمایه‌گذار به همراه داشته باشد. بعلاوه اثرپذیری قوی احساس سرمایه‌گذار از خود در مقایسه با متغیرهای کلان، رفتار سرمایه‌گذاران را بهتر توضیح می‌دهد. | ||
| کلیدواژه‌ها | ||
| عوامل کلان اقتصادی؛ احساس سرمایه‌گذار؛ تحریم؛ کووید 19؛ TVP-SVAR-SV | ||
| عنوان مقاله [English] | ||
| Time-Varying Effect of Macroeconomic Factors on Investor Sentiment: Examining the Role of Sanction, JCPOA and Covid-19 | ||
| نویسندگان [English] | ||
| Manijeh Ramsheh1؛ Esmaeel Jalili2؛ Mohaddese Yousefi3 | ||
| 1Assistant Professor, Department of Accounting, Faculty of Economics and Administrative Sciences, University of Qom, Qom, Iran | ||
| 2PhD in Strategic Management, Faculty of Management and Economics, Tarbiat Modares University.Tehran.Iran | ||
| 3Master of Sciene in Accounting, Faculty of Economics and Administrative Sciences, University of Qom, Qom, Iran | ||
| چکیده [English] | ||
| Investor sentiment plays an important role in financial markets and it is important to study the factors affecting it. Therefore, this paper, using the TVP-SVAR-SV method, has studied the time-varying effect of macroeconomic factors on investor sentiment in TSE during 2004-2 to 2022-4 seasonally. The findings showed that the impact of macroeconomic factor shocks on investors' sentiment is negative in the short term. After 2014-2, the exchange rate has had a positive effect on investor sentiment in the medium term. GDP and inflation also had a positive effect in the medium term. The fluctuation of investor reaction to the oil price shock in the short term is more than other macroeconomic factors and the biggest reaction was related to the drop in oil price in 2008. Compared to other macroeconomic factors, liquidity has had the strongest impact on investor sentiment in the short, medium and long term. The study of investor sentiment reaction to the shocks of macroeconomic factors in the three events of sanctions in 2012, the JCPOA and the coexistence of Covid-19 and the withdrawal of the United States from the JCPOA shows that the sentiment response to the shock of each of the factors in all three events was similar and no factor has had a lasting positive or negative effect on investor sentiment. In the first (third) event, compared to the other two events, the sentiment reaction to the shock of macro variables (except inflation) was stronger (weaker). The findings showed that the use of static approaches may lead to misleading results regarding the effect of macroeconomic factors on investor sentiment. In addition, the strong effectiveness of the investor's sentiment of self compared to the macroeconomic variables, explains the investors' behavior better. | ||
| کلیدواژه‌ها [English] | ||
| Macroeconomic Factors, Investor Sentiment, Sanction, Covid-19, TVP-SVAR-SV | ||
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