اثرات متغیرهای کلان اقتصادی بر شاخص های بازدهی بورس اوراق بهادار تهران
محورهای موضوعی : اقتصاد کار و جمعیت
کلید واژه: Gross Domestic Product, Stock Price Index, Money Stock, Housing Price Index, Interest Rate,
چکیده مقاله :
هدف این مقاله ارزیابی اثرمتغیرهای کلان اقتصادی بر بازدهی بورس اوراق بهادار تهران با استفاده از روش هم‌جمعی و داده‌های فصلی 1387-1377 می‌باشد. برآوردها با پنج شاخص برای بازدهی سهام (شاخص کل قیمت سهام، شاخص قیمت و بازده نقدی، شاخص بازده نقدی، شاخص قیمت صنعت و شاخص قیمت مالی) نشان می‌دهد که تولید ناخالص داخلی، حجم پول و حجم نقدینگی از متغیرهای اثرگذار کلیدی بر بازدهی سهام محسوب می‌شوند. سکه جانشین ضعیفی برای بازار سهام می‌باشد. اما نرخ ارز و مسکن بسته به شاخص منتخب برای بازار سهام، بر بازدهی بورس اوراق بهادارتهران اثرگذارند. همچنین اثر نرخ بهره حقیقی با وجود این که منفی است ولی پایدار نیست. همچنین شواهد نشان می‌دهد که انتخابات ادواری ریاست جمهوری به شدت بر بازدهی سهام تاثیر می‌گذارد.
Abstract The aim of this paper is to evaluate the macroeconomic variables on Tehran stock exchange by using cointegration method and seasonal data during 1998 – 2008. The estimation with 5 indicators for stock output (cash return, stock price index, and cash return and stock price index, industrial price index and financial price index) represent that Gross Domestic Product, money stock and liquidity are the main effective variables on the return of stock market. Coin is a week substitution for the stock exchange but, exchange rate and housing, based on selected indicator for stock exchange, affect the return of stock exchange. Although, the impact of real interest rate is negative, but it is not stable. Also, the findings show that periodical election influences the return of stock exchange.
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