مقایسه تأثیر پذیری بازدهی سهام صنایع منتخب صادراتی و وارداتی از نوسانات نرخ ارز

اقتصاد پولی مالی

مقاله 5، دوره 25، شماره 16، آبان 1397، صفحه 93-132   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v25i15.56874

نویسندگان

مهدیه رضاقلی زاده^{* 1}؛ مجید آقایی²

¹مازندران

²دانشگاه مازندران

چکیده

با توجه به این که کشور ایران طی سال‌های اخیر با نوسانات عمده‌ای در نرخ ارز مواجه بوده و این نوسانات نیز دارای نقش اساسی در تعیین میزان بازدهی صنایع صادراتی و وارداتی کشور هستند، در این مطالعه با استفاده از نظریات اقتصادی و با تکیه بر مدل تصحیح خطای پانل (PECM) و آزمون‌های هم انباشتگی و علیت پانل ، رابطه کوتاه مدت و بلند مدت بین نرخ ارز و بازدهی سهام صنایع عمده صادراتی و وارداتی فعال در بورس اوراق بهادار تهران با استفاده از داده‌های ماهیانه طی دوره زمانی 94-1384 مورد آزمون و بررسی قرار گرفته است و به صورت کمّی برآورد خواهد گردید. برآورد ضرایب بلندمدت در این مطالعه با استفاده از روش حداقل مربعات معمولی پویا (DOLS) و برآورد ضرایب کوتاه مدت و روابط علیت با استفاده از روش گروه میانگین ادغام شده (PMG) انجام می‌گیرد. نتایج به دست آمده بیانگر این است که یک رابطه تعادلی بلندمدت بین متغیر نرخ ارز و سایر متغیرهای مؤثر بر بازده سهام - شامل بازده مازاد بازار، قیمت نفت خام، نرخ تورم و نرخ بهره- با بازدهی سهام صنایع مورد مطالعه طی دوره مورد بررسی وجود دارد. یافته‌ها در گروه صنایع صادرکننده نشان می‌دهد که نرخ ارز تأثیر مثبتی بر بازده سهام داشته و یک رابطه دو طرفه بین این دو متغیر وجود دارد؛ در حالی که یافته‌های معادلات برآورد شده در گروه صنایع وارد کننده نشان دهنده یک رابطه دوطرفه منفی بین نرخ ارز و بازده سهام صنایع مذکور است.

کلیدواژه‌ها

مدل تصحیح خطای پانل؛ هم انباشتگی پانل؛ نرخ ارز؛ بازده سهام؛ صنایع صادراتی؛ صنایع وارداتی

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