نقش شاخص های اعتماد بازار سهام در فضای نااطمینانی مالی و نااطمینانی سیاست های اقتصادی و شوک آن بر بازده سهام

محورهای موضوعی : اقتصاد مالی

سیده نرجس شیرمردی ¹ , مجید صامتی ² , حسین شریفی رنانی ³

1 - گروه اقتصاد دانشگاه ازاد اسلامی،واحد اصفهان(خوراسگان)،اصفهان،ایران
2 - دانشگاه اصفهان،گروه اقتصاد،اصفهان،ایران
3 - دانشیار گروه اقتصاد، دانشگاه ازاد اسلامی، واحد اصفهان (خوراسگان)، اصفهان، ایران

تاریخ دریافت : 1402/05/14 تاریخ پذیرش : 1403/05/21 تاریخ انتشار : 1403/06/21

کلید واژه: اعتماد بازار سهام, نااطمینانی مالی, نااطمینانی سیاست‌های اقتصادی, بازار سرمایه, بازده سهام,

چکیده مقاله :

هدف از این پژوهش بررسی نقش شاخص‌های اعتماد بازار سهام در فضای نااطمنیانی مالی و نااطمینانی سیاست‌های اقتصادی کشور امریکا و اثرات شوک کوتاه‌مدت و بلندمدت آن بر بازده سهام(شاخص اس اند پی بورس نیویورک) با استفاده از الگوی خودبازگشت برداری ساختاری و داده‌های فصلی در بازه زمانی 2022- 2002 می‌باشد. نتایج حاکی از آن است که در کوتاه‌مدت بیشترین تاثیر شوک‌های منفی به ترتیب ناشی از متغیرهایی همچون بازده سهام، سپس نااطمینانی مالی ، شاخص اعتماد ارزش‌گذاری، نااطمینانی اقتصادی ، شاخص اعتماد یکساله و متغیرهای نااطمینانی سیاست‌های اقتصادی ، شاخص اعتماد سقوط و شاخص اعتماد خرید قیمت پائین نیز تقریبا به یک اندازه بر بازدهی سهام تاثیرگذار بوده‌اند. در بلندمدت نیز بیشترین تاثیر شوک‌های منفی به ترتیب ناشی از متغیرهایی همچون بازده سهام، نااطمینانی سیاست‌های اقتصادی، شاخص اعتماد خرید قیمت پائین، نااطمینانی اقتصادی، شاخص اعتماد یکساله و سپس متغیرهای نااطمینانی مالی، شاخص اعتماد ارزش‌گذاری، شاخص اعتماد سقوط نیز تقریبا به یک اندازه بر بازدهی سهام تاثیرگذار بوده‌اند.

چکیده انگلیسی:

The purpose of this research is to investigate the role of stock market confidence indicators in the Conditions of financial uncertainty and economic policy uncertainty in the United States and its short-term and long-term shock effects on stock returns (S&P index of the New York Stock Exchange) Using a structural vector autoregressive model Quarterly data in the period 2002-2022.The results indicate that in the short term, the greatest impact of negative shocks is caused by variables such as stock returns, then financial uncertainty, valuation confidence index, economic uncertainty, one-year confidence index and variables of economic policies uncertainty, Crash Confidence Index and Buy-on-Dips Confidence index have almost equally affected stock returns. In the long term, the greatest impact of negative shocks is caused by variables such as stock returns, economic policy uncertainty, Buy-on-Dips Confidence Index, economic uncertainty, one-year confidence index, and then variables financial uncertainty, valuation confidence index, Crash Confidence Index have almost equally affected stock returns

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