اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

بررسی اثرات نامتقارن نوسانات ارزی بر ارزش معاملات بازار سهام با رویکرد NARDL

نوع مقاله : مقاله پژوهشی

نویسندگان
1 گروه حسابداری و مالی، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.
2 گروه مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.
3 گروه اقتصاد، دانشکده اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران.
چکیده
این مطالعه با استفاده از یک مدل خودرگرسونی با وقفه‌های توزیع شده غیرخطی (NARDL) به بررسی اثرات نامتقارن نوسانات نرخ ارز بر ارزش معاملات بورس اوراق بهادار تهران می‌پردازد. داده‌های این پژوهش بر اساس زمانی فصلی از سال 1381 تا 1403 که مورداستفاده قرار گرفته‌اند و از طریق پایگاه‌های داده بورس تهران و بانک جهانی گردآوری شده‌اند. در این پژوهش، نوسانات نرخ ارز به شوک‌های مثبت و منفی تفکیک شده‌ و در کنار آن‌ها نسبت قیمت به سود تقسیمی (P/D) و تولید ناخالص داخلی اسمی سرانه به‌عنوان متغیرهای کنترلی وارد مدل شده‌اند. نتایج حاصل بیانگر وجود یک رابطه تعادلی بلندمدت است به‌طوری که شوک‌های مثبت نوسانات نرخ ارز به‌طور معناداری موجب افزایش ارزش معاملات می‌شوند، درحالی‌که شوک‌های منفی تأثیر معناداری ندارند. آزمون والد وجود نامتقارنی در بلندمدت را تأیید می‌کند. این یافته‌ها بر رفتار نامتقارن بازار سرمایه در واکنش به نوسانات ارزی تأکید دارند و ضرورت اتخاذ سیاست‌های هدفمند برای مدیریت بهتر بازار سرمایه در زمان افزایش نوسانات و نااطمینانی و همچنین پیاده‌سازی سیاست‌های تأمین‌کننده ثبات را برجسته می‌سازد.

چکیده تصویری

بررسی اثرات نامتقارن نوسانات ارزی بر ارزش معاملات بازار سهام با رویکرد NARDL
کلیدواژه‌ها
موضوعات

عنوان مقاله English

Asymmetric Effects of Exchange Rate Fluctuations on Stock Market Transaction Value: A NARDL Approach

نویسندگان English

Mohammad Ebrahim Raei Ezabadi 1
Farid Shaabani 2
Mohammad Hosein Akhlaghi 3
1 Department of Accounting and Finance, ST.C, Islamic Azad University, Tehran, Iran.
2 Department of Financial Management, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran.
3 Department of Economics, Faculty of Economics, University of Allame Tabatabaee, Tehran, Iran
چکیده English

This study employs a Nonlinear Autoregressive Distributed Lag (NARDL) model to examine the asymmetric effects of exchange rate fluctuations on the value of transactions in the Tehran Stock Exchange. The data used in this research are quarterly observations spanning the period 2002 to 2024, collected from the Tehran Stock Exchange and the World Bank databases. In this study, exchange rate fluctuations are decomposed into positive and negative shocks, while the price-to-dividend ratio (P/D) and nominal per capita GDP are incorporated into the model as control variables. The results indicate the existence of a long-run equilibrium relationship, whereby positive exchange rate shocks significantly increase transaction value, whereas negative shocks do not exert a significant effect. The Wald test confirms the presence of long-run asymmetry. These findings highlight the asymmetric behavior of the capital market in response to currency fluctuations and underscore the necessity of adopting targeted policies to improve capital market management during periods of heightened volatility and uncertainty, as well as implementing stability-enhancing measures.

کلیدواژه‌ها English

Exchange Rate Volatility
Market Liquidity
Asymmetric Effects
Value of Stock Market Transactions
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