قیمتهای خوشهای در بازار سرمایه ایران و علل موثر بر آن
محورهای موضوعی : دانش سرمایهگذاریمسلم پیمانی فروشانی 1 , امیرحسین ارضاء 2 , محمدمهدی بحرالعلوم 3
1 - عضو هیات علمی (استادیار) گروه مالی و بانکداری دانشگاه علامه طباطبائی (نویسنده مسئول)،
2 - عضو هیات علمی (استادیار) گروه مالی و بانکداری دانشگاه علامه طباطبائی
3 - عضو هیات علمی (استادیار) گروه مالی و بانکداری دانشگاه علامه طباطبائی
کلید واژه: خوشهای بودن قیمت, ارقام گرد شده, داده‌های پربسامد,
چکیده مقاله :
قیمتهای خوشهای به تمایل قیمت‌ها به اعداد گرد اشاره دارد. این موضوع در کشورهای مختلف و در خصوص متغیرهای مالی گوناگونی بررسی و نظریات متفاوتی برای توجیه آن ارائه شده است. در این پژوهش به بررسی وجود این رفتار در قیمت‌ها و عوامل موثر بر شدت آن در بازار سرمایه ایران پرداخته شده است. برای این منظور از داده‌های پربسامد بهره جسته و با تحلیل این داده‌ها با استفاده از آزمون‌ها و فنون آماری، شواهدی دال بر وجود این پدیده در بازار سرمایه ایران مشاهده شد. علاوه بر این از بین عوامل مختلف، متغیر اندازه و قیمت و همچنین متغیر مجازی تفکیک بورس و فرابورس بر شدت خوشهای بودن قیمت‌ها موثر شناخته شد که از این بین، متغیر اندازه بر خلاف انتظار دارای ضریبی مثبت بود. نتایج تحلیل‌های انجام شده با فرضیات خرده قیمت‌گذاری، واکافت قیمت (صرفاً در مورد متغیر قیمت و نه اندازه شرکت) و مذاکره همخوانی دارد.
Price clustering is the tendency of prices to be round numbers. This phenomenon is studied in different countries and in various financial variables and several hypotheses have been put forth to explain that. In this study, existence of this price clustering and factors affecting on it is tested in Iran capital market. To this, high frequency data is used and by means of statistical tests, the existence of price clustering is observed in Iran capital market. Furthermore, among all variables, only size, price and a dummy variable to distinguish between Tehran stock exchange and Iran Farabourse exchange, were effective on the intensity of price clustering and despite the expectations, size variable has a positive coefficient. Results are corresponded to odd-pricing, price resolution (just for price variable and not for size) and negotiation hypothesis.
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