تحلیلی بر نقش تقویمی روزهای مختلف هفته در نابهنجاری های بازده سهام
تحلیلی بر نقش تقویمی روزهای مختلف هفته در نابهنجاری های بازده سهام
محورهای موضوعی : دانش مالی تحلیل اوراق بهادار
حسین عبدی 1 , حسین جباری (نویسنده مسئول) 2 * , حسن قدرتی 3
1 - دانشجوی دکتری، گروه حسابداری، واحد کاشان، دانشگاه آزاد اسلامی، کاشان، ایران
2 - استادیار، گروه حسابداری، واحد کاشان، دانشگاه آزاد اسلامی، کاشان، ایران. (نوسینده مسئول)
3 - استادیار گروه حسابداری، واحد کاشان، دانشگاه آزاد اسلامی، کاشان، ایران
کلید واژه: ناهنجاري بازده سهام, حباب قيمتي, سقوط قيمتي, سرمايه گذاري, اثرات تقويمي,
چکیده مقاله :
چکیده از آنجایی که بازده غیر عادی اوراق بهادار بر اساس روابط مقطعی به دست می آید، لذا نمی توان آن را با نظریه های موجود توضیح داد و اغلب از آن ها به عنوان ناهنجاری های بازده سهام ياد می شود. هدف از اجرای اين تحقيق تحلیلی بر نقش تقویمی روزهای مختلف هفته در نابهنجاری های بازده سهام بوده است. بر اين اساس داده هاي عملكردي شركت هاي پذيرفته شده در بورس تهران و بازده روزانه يا ماهانه سهام در بازه 20 ساله منتهي به 29/12/1401 جمع آوری شده است. در ادامه نابهنجاری هاي بازده سهام، متاثر از اثرات تقویمي(به طور خاص اثرات عيد نوروز، روز خاصي از هفته و اثرات خاصي در ماه) مورد بررسی قرار گرفته است. بر پايه به كارگيري الگوهاي رگرسيون معمولي، گارچ، تي گارچ و اي گارچ، شواهد تجربي نشان داد كه در صورت استفاده از بازده تعديل شده مبتني بر شكاف قيمتي به عنوان هزينه معاملات، هیچ استراتژی مبتنی بر ناهنجاری های تقويمي وجود ندارد که بتواند بازار را شکست داده و سودهای غیرمتعارف را براي انتخاب كنندگان چنين استراتژي هايي به همراه داشته باشد.
Abstract Since the abnormal returns on securities are based on these cross-sectional relationships, they cannot be explained by existing theories and are often referred to as stock returns. The purpose of this study was to evaluate the calendar effects of different days of the week on the abnormal returns of stocks. Based on this, the performance data of the companies listed on the Tehran Stock Exchange and the daily or monthly return on shares in the 10-year period ending on March 2019 have been collected. The following are the abnormalities in stock returns affected by calendar effects (specifically the effects of Nowruz, a specific day of the week, and specific effects on the month). Based on the use of conventional regression patterns, Garc, T-Garc, and E. Garc, empirical evidence showed that there is no strategy based on calendar anomalies that can market the market if the adjusted price-based adjusted return is used as the transaction cost. It has failed and brought unconventional benefits to voters with such strategies.
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