دوره 11، شماره 42 - ( 10-1399 )                   سال11 شماره 42 صفحات 81-51 | برگشت به فهرست نسخه ها

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tohidi M. Measuring the Effect of Noise Trading on Bubbles in Tehran Stock Exchange. jemr 2020; 11 (42) :51-81
URL: http://jemr.khu.ac.ir/article-1-2012-fa.html
توحیدی محمد. سنجش اثر معامله‌گران اختلال‌زا در بروز حباب در بورس اوراق بهادار تهران. تحقیقات مدلسازی اقتصادی. 1399; 11 (42) :51-81

URL: http://jemr.khu.ac.ir/article-1-2012-fa.html

سنجش اثر معامله‌گران اختلال‌زا در بروز حباب در بورس اوراق بهادار تهران
محمد توحیدی*
دانشگاه امام صادق ع ، tohidi@isu.ac.ir
چکیده:   (3629 مشاهده)
معامله‌گران اختلال‌زا، افراد و بنگاه‌هایی هستند که تحت تأثیر احساسات و هیجانات بازار تصمیم‌گیری کرده و دارایی‌ها را بر اساس اطلاعات غیر مرتبط خریدوفروش می‌کنند. این معامله‌گران عموماً زمان‌بندی ضعیفی داشته، روندها را دنبال نموده و واکنش بیش‌ازحد به اخبار خوب یا بد می‌دهند. تجربه بازارهای مالی نشان داده است که معامله‌گران اختلال‌زا با اقدام بر اساس اطلاعاتی که واقعاً اطلاعات محسوب نمی‌شود، سبب نوسان شدید و  انحراف ارزش دارایی‌ها از ارزش ذاتی‌شان می‌شود. تمرکز این پژوهش بر  ارزیابی و سنجش نقش معامله‌گران اختلال‌زا بر بروز حباب در بورس اوراق بهادار تهران در بازه زمانی 1390 تا 1395 است؛ بنابراین فرضیه پژوهش عبارت است از: "اثر معاملات اختلال‌زا بر  بروز حباب در بورس اوراق بهادار تهران مثبت و معنادار است ".
در این پژوهش از روش PCA برای استخراج شاخصی احساسی استفاده شده است که گویای رفتار معامله‌گران اختلال‌زا و هیجانی باشد. همچنین  در تعیین دوره‌های حبابی شاخص قیمت بورس اوراق بهادار تهران روش GSADF  به‌کار گرفته شده است درنهایت جهت سنجش اثر معاملات اختلال‌زا بر بروز حباب در شاخص قیمت بورس اوراق بهادار نیز  از روش لاجیت استفاده شده است. نتایج نشان‌ می‌دهد که اثر معاملات اختلال‌زا بر بروز حباب مثبت و معنادار است. همچنین تخمین اثر نهایی (حاشیه‌ای) گویای آن است که افزایش یک واحد احساسات خوش‌بینانه و احساسات خوش‌بینانه با وقفه در بازار سهام، احتمال بروز حباب را به ترتیب 24 و 28 درصد افزایش می‌دهد.
واژه‌های کلیدی: معامله‌گر اخلال‌زا، گرایش احساسی، حباب، بورس اوراق بهادار تهران
متن کامل [PDF 2378 kb]   (1198 دریافت)    
نوع مطالعه: كاربردي | موضوع مقاله: پولی و مالی
دریافت: 1399/2/28 | پذیرش: 1399/11/20 | انتشار: 1400/1/31
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