ارزیابی عوامل تعیین کننده مومنتوم قیمت در بازار سهام ایران
محورهای موضوعی : مهندسی مالی
آنتا کبریایی
1
(گروه مدیریت، واحد یادگار امام خمینی(ره) شهرری، دانشگاه آزاد اسلامی، تهران، ایران)
عبدالمجید دهقان
2
(گروه مدیریت، واحد یادگار امام خمینی (ره)-شهرری، دانشگاه آزاد اسلامی، تهران، ایران)
کلید واژه: بازده سهام, حجم معاملات, استراتژی معاملاتی مومنتوم, بازده پورتفوی,
چکیده مقاله :
با توجه به رشد و توسعه بازارها و ابزارهای مالی، پیچیدگی بازارهای مالی و تخصصی شدن مقوله سرمایه گذاری، سرمایه گذاران و شاغلان بازارهای مالی نیازمند ابزارها، روش ها و مدل هایی هستند که در انتخاب بهترین سرمایه گذاری و مناسب ترین پرتفوی به آن ها یاری دهد. استراتژی مومنتوم مبتنی بر ارزیابی حرکت سود (جهت سرعت و اندازه حرکت سود )شرکت می باشد. مومنتوم ماهیت چند وجهی دارد و به طور سنتی با شرایط فیزیکی مرتبط است .این استراتژی فرض می کند که بازار به جهت کلی سود پاسخ خواهد داد آن هم بوسیله خرید سهام یا جستجو برای فروش سهام در بهترین قیمت ممکن؛ همچنین این استراتژی فرض می کند که روند تاریخی سود در آینده ادامه خواهد داشت. دراین پژوهش تلاش شده است تا عوامل تعیین کننده مومنتوم قیمت در بازار سهام ایران شناسایی شده و مورد بررسی قرار گیرد. بدین منظور ارزیابی سودآوری استراتژی های سرمایه گذاری شرکت های پذیرفته شده در بورس بر مبنای تغییرات قیمت و حجم معاملات گذشته صورت گرفت. در این تحقیق سودمندی استراتژی های معاملاتی بر اساس قیمت داده های مربوطه و حجم قبلی ارزیابی گردید. نتایج حاصل از این تحقیق بیانگر آن است که استراتژی های معاملاتی مبتنی مومنتوم در قیمت سهام اثر گذارند. در نتیجه استراتژی معاملاتی مومنتوم می تواند برآورد کننده خوبی برای قیمت سهام باشد. همچنین بین استراتژی معاملاتی مومنتوم و بازده پرتفوی رابطه مثبت و معناداری وجود دارد و می توان بیان نمود که با به کارگیری استراتژی معاملاتی مومنتوم بازده اوراق بهادار را افزایش می یابد. در نهایت می توان گفت روشن شدن نحوه ارتباط حجم معاملات و بازده سهام از طریق استراتژی معاملاتی مومنتوم، دیدگاه ها سرمایه گذاران و ذینفعان را نسبت به بازارهای مالی و ساختار بازار شفاف می کند.
Developing and growing markets and financial tools, markets financial complexity and specialization of investment, made investors and financial markets employees to have tools, methods and modes to help them choose the best way of investment. Momentum method is based on company profit movement assessment (rate tenor and amount of profit movement). Momentum has multifarious essence and it has traditionally relation with physical condition. This method acclaims that, market will response to all of profit movement, specially by buying or selling stock at best time. It also suggests that the growing profit will continue steady in the future. At this survey, we tried to study and define the determinant elements of momentum stock prices in Iran. Therefore, companies profit investments in stock markets has been evaluated. At this study, profit of Trades methods has been assessed according to current and last inputs and prices. We also tried to explain more about these standards and to explain, if we can explain the increase of stock input by this method or not? The findings of this study revealed that trade methods based on stock price momentum are the main effective things. So, momentum strategy trade could be a great statistic for stock price. The findings determined that coefficient variant of stock price was 0/00171 and it revealed the negative effect of coefficient variant on momentum strategy. According to T statistic, the coefficient variant of stock is certainly 95%, there is also a great and meaningful relation between momentum strategy trade and input, on the other hand, by applying momentum strategy trade, stock input will be increased. Finally, by proving amount of trades and stock input relation by momentum strategy, the lookout of investors and beneficiaries to financial market and structures will be cleared.
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