Financial market Volatility, macroeconomic fundamentals and investor Sentiment
Subject Areas :
محمد محمدی
1
,
majid azimi yancheshme
2
*
,
masoud fouladi
3
,
maryam farhadi
4
1 - گروه حسابداری.دانشگاه.غیر انتفاعی.پرندک.پرندک .ایران.
2 - مدیر گروه حسابداری مقاطع دکتری و ارشد حسابداری، حسابرسی، و مدیریت مالی
3 - دانشگاه آزاد اسلامی واحد شاهین شهر
4 - گروه حسابداری ،واحد مبارکه
Keywords: investor sentiment, financial market volatility, macroeconomic fundamentals, stock price.,
Abstract :
Capital asset pricing theory suggests that sentiment has no effect on economic activity. Decisions based on uninformed investor sentiments lead to additional volatility. Changes in sentiment can trigger strong liquidity shocks that have a significant impact on financial market volatility in the short term. Changes in a set of prices may lead to investor sentiments that cause changes in a seemingly unrelated set of prices. The purpose of this research is to present a model based on financial market volatility, macroeconomic fundamentals and investor sentiments. The statistical population of this research consists of the companies accepted in the Tehran Stock Exchange, based on the systematic elimination method, 112 companies were selected as the sample size during the years 1394-1400. The method of collecting information is library and field. Data analysis was done using the multivariable regression model presented in the research with the help of Stata and Eviuse software.The results of the test showed the research hypotheses. The fluctuations of the financial market have a significant relationship with investor sentiments, which shows that the stock price is the focus of the investors on the stock market, and it has reduced the investment risk and adverse shocks of the stock market, increased the volume of trading, and the stock yield has also increased. Also, the variables of money volume growth rate, inflation, real production growth have been able to increase investor sentiments.