اقتصاد و سیاست گذاری مالی

اقتصاد و سیاست گذاری مالی

تحلیل نقدشوندگی اشتراکی سهام شرکت‎ها مبتنی بر معیارهای اسپرد مظنه و عمق بازار

نوع مقاله : مقاله پژوهشی

نویسندگان
گروه مدیریت، اقتصاد و حسابداری، واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران.
10.22034/efp.2026.2087510.1037
چکیده
هدف این پژوهش، تحلیل نقدشوندگی اشتراکی سهام در بازار سرمایه تهران با تأکید بر دو مؤلفه اسپرد مظنه و عمق بازار است. نقدشوندگی اشتراکی به هم‌حرکتی نقدشوندگی سهام مختلف تحت تأثیر عوامل مشترک بازار گفته می‌شود. با استفاده از داده‌های روزانه ۹۲ شرکت پذیرفته‌شده در بورس تهران طی سال‌های ۱۳۹۴ تا ۱۴۰۳ و به‌کارگیری مدل‌های رگرسیون فیلترکننده (1)AR و تحلیل همبستگی اسپیرمن، رابطه بین شاخص‌های نقدشوندگی شرکت‌ها و بازار بررسی شد. یافته‌ها نشان می‌دهد که (۱) ضریب نقدشوندگی اشتراکی برای اسپرد مظنه به‌طور میانگین 98/0 و برای عمق بازار 604/0 است که حکایت از وجود نقدشوندگی اشتراکی معنادار دارد. (۲) اسپرد مظنه رفتاری ناپایدار و چوله به راست دارد، در حالی که عمق بازار توزیعی نزدیک به نرمال با پایداری بیشتر نشان می‌دهد. (۳) همبستگی روزانه معیارها با بازار حدود 43/0 است، اما در افق ماهانه به 24/0 کاهش می‌یابد. این نتایج برای سیاست‌گذاران و سرمایه‌گذاران به‌منزله هشداری درباره ماهیت چندبعدی نقدشوندگی و ناپایداری آن در افق‌های بلندمدت است.

چکیده تصویری

تحلیل نقدشوندگی اشتراکی سهام شرکت‎ها مبتنی بر معیارهای اسپرد مظنه و عمق بازار
کلیدواژه‌ها

عنوان مقاله English

Analysis of Commonality in Stock Liquidity Based on Quoted Spread and Market Depth Measures

نویسندگان English

Seyed Fakhreddin Fakhrehosseini
Meysam Kaviani
Fateme Sabzmakan
Department of Management, Economic and Accounting, Karaj Branch, Islamic Azad University, Karaj, Iran.
چکیده English

This study aims to analyze commonality in stock liquidity in the Tehran capital market, with an emphasis on two components: quoted spread and market depth. Commonality in liquidity refers to the co‑movement of individual stock liquidity driven by common market factors. Using daily data from 92 companies listed on the Tehran Stock Exchange over the period 2015–2024 and applying AR(1) filtering regressions along with Spearman rank correlation analysis, the relationship between firm‑level and market‑wide liquidity measures is examined. The findings reveal that: (1) the average commonality coefficient for quoted spread is 0.98, while for market depth it is 0.604, indicating a significant presence of liquidity commonality; (2) the quoted spread exhibits unstable behaviour and a right‑skewed distribution, whereas market depth displays a near‑normal distribution with greater stability; (3) the daily correlation of each measure with the market is approximately 0.43, but declines to 0.24 at the monthly horizon. These results serve as a warning for policymakers and investors regarding the multidimensional nature of liquidity and its instability over longer time horizons.

کلیدواژه‌ها English

Commonality in Liquidity
Quoted Spread
Market Depth
Capital Market
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انتشار آنلاین از 30 شهریور 1405