بررسی تأثیر عدم تقارن اطلاعات و اثر مقیاس بر ساختار بازار در بورس اوراق بهادار تهران
محورهای موضوعی : مهندسی مالی
منیرالسادات میرجمالی مهرآبادی
1
,
عباس نجفی زاده
2
,
مجید زنجیردار
3
,
پیمان غفاری آشتیانی
4
1 - گروه اقتصاد، واحد اراک، دانشگاه آزاد اسلامی اراک، ایران
2 - گروه اقتصاد، واحد اراک، دانشگاه آزاد اسلامی اراک، ایران
3 - گروه مدیریت مالی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران
4 - گروه مدیریت بازرگانی، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران
کلید واژه: عدم تقارن اطلاعات, ساختار بازار, اثر مقیاس, بورس اوراق بهادار تهران و پانل GLS,
چکیده مقاله :
نقش اطلاعات در اقتصاد، از زیر سؤال بردن یکی از فرض‌های نظریه رقابت کامل در بازار شروع شده است. در بازار سهام، اطلاعات نقش مهمی در تعیین میزان رقابت‌پذیری دارد. در این پژوهش سعی شده با استفاده از معادلات درآمدی و در حضور عدم تقارن اطلاعات میزان رقابت‌پذیری شرکت‌ها در بورس اوراق بهادار تهران سنجیده شود. در این راستا ابتدا با استفاده از معادلات درآمدی و روش GLS، به بررسی تأثیر متغیرهای مختلف بر عایدی سهام در شرکت‌های منتخب پرداخته شده است. نتایج بیانگر این است که معادلات بدون اثر مقیاس تصریح بهتری از شرایط شرکت‌های مذکور ارائه می‌کنند. همچنین با وجود عدم تقارن اطلاعات زیاد و تأثیرپذیری عایدی سهام از آن، میزان این تأثیرپذیری اندک است. شاخص رقابت‌پذیری (H)، نشان می‌دهد در معادلات عایدی حاصل از تغییر قیمت سهام، رقابت انحصاری و در معادلات عایدی حاصل از سود تقسیمی و انباشته، رفتار انحصاری بهترین توصیف از شرایط بازار است.
Role of information in economy started from questioning one of the assumptions of perfect competition theory in market. In stock market, information plays an important role in determining the level of competitiveness. In this study tried to measure the competitiveness of firms in Tehran Stock Exchange by using income equations in the presence of asymmetric information. In this regard, first, using the income equations and a GLS- Panel has been paid the effect of various variables. The results indicate that equations without the effect of scale offer better specification of the firms’ conditions. Although asymmetric information is high in stock market and stock gains influenced by the degree of asymmetric information, but extent of this influence is limited. The “H competitiveness index” shows that monopolistic competition is best description of market conditions in equations of incomes from changes in stock prices, but in equations of incomes from stocks dividends and accumulated, the performance of studied firms be explained with monopolistic behavior.
1- اکبری روشن، مهدیه، شاکری، عباس، 1393، اثر مخارج دولت، نقدینگی و ساختار بازار بر توسعه مالی بازار سهام، پژوهشنامه اقتصادی، دوره 14، شماره 53، 142-109.
2- پندیک، رابرت اس، رابینفیلد، دانیل آل، اقتصاد خرد، ترجمه‌ی احمد ذیحجه زاده، تهران: انتشارات سمت، 82-1381.
3- پیرویان، افسانه، زراء نژاد، منصور، 1391، بررسی ارتباط ساختار بازار بر عملکرد صنعت بیمه در ایران، تازه‌های جهان بیمه، شماره 176، 17-4.
4- جهان‌خانی، علی، عبده تبریزی، 1372، حسین، نظریه بازار کارآی سرمایه، تحقیقات مالی، دوره 1، شماره 1.
5- حقایقی، ثریا، (1394)، رابطه بین ساختار سرمایه، عملکرد شرکت و رقابت بازار در بورس اوراق بهادار تهران، استاد راهنما: آرش تحریری، استاد مشاور: عزت‌اله عباسیان، پایان‌نامه کارشناسی ارشد رشته حسابداری، دانشگاه تهران، پردیس البرز.
6- خداداد کاشی، فرهاد، اقتصاد صنعتی (نظریه و کاربرد)، چاپ چهارم، تهران: انتشارات سمت، 1393.
7- زمانیان، غلامرضا، جلالی، ام‌البنین، کردی تمندانی، علی، 1396، رهیافت مدل احتمال مبادله آگاهانه در بررسی اثر عدم تقارن اطلاعات بر بازده سهام و حجم معاملات در شرکت‌های منتخب بورس اوراق بهادار تهران، اقتصاد مالی، دوره 11، شماره 41.
8- سبحانی، حسن، رزم آهنگ، مهدی، 1397، تبعات ریسک‌پذیری و رقابت بانک‌ها در جذب سپرده در شرایط عدم تقارن اطلاعات؛ مطالعه موردی نظام بانکی ایران، راهبرد اقتصادی، دوره 7، شماره 26، 197-169.
9- شمس‌الدینی، مصطفی، شهیکی تاش، محمدنبی، خداداد کاشی، فرهاد، 1396 سنجش ضریب عدم تقارن اطلاعاتِ شرکت‌های فعال در صنعت مواد غذایی و آشامیدنی بورس اوراق بهادار تهران، اقتصاد و توسعه کشاورزی، دوره 31، شماره 1.
10- صدرایی جواهری، احمد، هادی زادگان، معصومه، 1393، اعتبار نظریه‌های ساختار کارا و قدرت بازار در صنعت داروسازی ایران، پژوهش‌ها و سیاست‌های اقتصادی، دوره 22، شماره 69، 48-25.
11- کیامهر، علی، ولیئی، محمد، ۱۳۹۴، بررسی تأثیر رقابت بازار محصول بر رابطه بین ساختار سرمایه و عملکرد شرکت، دومین همایش ملی و دومین همایش بین‌المللی مدیریت و حسابداری ایران، همدان.
12- مهرآرا، محسن، حاجی کریمیان، پانیذ، 1396، تأثیر تمرکز بازار بر عملکرد سیستم بانکداری در ایران، اقتصاد و بانکداری اسلامی، شماره 20، 48-33.
13- Akerlof, G.A., 1970, The Market for “Lemons” Quality Uncertainty and the Market Mechanism, The Quarterly Journal of Economics, 84(3).
14- Alhaj-Yaseen, Y. S., Barkoulas, J. T., and Ouandlous, A., 2020, Liberalization and Asymmetric Information Flow Dynamics in the Chinese Equity Markets, the Journal of Economic Asymmetries, 21, e00151.
15- Al-Muharrami, S., Matthews, K., & Khabari, Y., 2006, Market Structure And Competitive Conditions In The Arab GCC Banking System, Journal of Banking & Finance, 30(12), 3487-3501.
16- Apergis, N., Fafaliou, I. and Polemis, M.L., 2016, New Evidence on Assessing the Level of Competition in the European Union Banking Sector: a Panel Data Approach, International Business Review, 25(1).
17- Balakrishnan, K., Vashishtha, R., and Verrecchia, R. E., 2019, Foreign Competition for Shares and the Pricing of Information Asymmetry: Evidence from Equity Market Liberalization, Journal of Accounting and Economics, 67(1), 80-97.
18- Bessembinder, H., 2003, Trade Execution Costs and Market Quality after Decimalization, Journal of Financial and Quantitative Analysis, 38(4).
19- Bikker, J.A. and Groeneveld, J.M., 2000, Competition and Concentration in the EU Banking Industry, Kredit und Kapital, 33.
20- Bikker, J.A. and Haaf, K., 2002, Competition, Concentration and their Relationship: An Empirical Analysis of the Banking Industry, Journal of banking and finance, 26(11).
21- Bikker, J.A., Shaffer, S. and Spierdijk, L., 2012, Assessing Competition with the Panzar-Rosse Model: The Role of Scale, Costs, and Equilibrium, Review of Economics and Statistics, 94(4).
22- Billett, M.T., Garfinkel, J.A. and Yu, M., 2017, The Effect of Asymmetric Information on Product Market Outcomes, Journal of Financial Economics, 123(2).
23- Capron, L. and Shen, J.C., 2007, Acquisitions of Private Vs. Public Firms: Private Information, Target Selection, and Acquirer Returns, Strategic Management Journal, 28(9).
24- Claessens, S. and Laeven, L., 2004, What Drives Bank Competition? Some International Evidence, Journal of Money, Credit and Banking, 36.
25- Clarke, J. and Shastri, K. 2000, On Information Asymmetry Metrics, Social Science Research Network Electronic Paper Collection, and Available at http: //ssrn.com/abstract=251938 (visited 8 May 2016).
26- Cohen, B.D. and Dean, T.J., 2005, Information Asymmetry and Investor Valuation of Ipos: Top Management Team Legitimacy as a Capital Market Signal, Strategic Management Journal, 26(7).
27- Crawford, G.S., Pavanini, N. and Schivardi, F., 2018, Asymmetric Information and Imperfect Competition in Lending Markets, American Economic Review, 108(7).
28- Fang, H. and Wu, Z., 2018, Multidimensional Private Information, Market Structure, and Insurance Markets, the RAND Journal of Economics, 49(3).
29- Glosten, L.R. and Harris, L.E., 1988, Estimating the Components of the Bid/Ask Spread, Journal of Financial Economics, 21(1).
30- Kaplanski, G. and Levy, H., 2015, Trading Breaks and Asymmetric Information: the Option Markets, Journal of Banking and Finance, 58.
31- Laussel, D., 2018, Complementary Monopolies with Asymmetric Information: A Private Common Agency Model, SSRN Electronic Journal.
32- Lee, C.M. and Ready, M.J., 1991, Inferring Trade Direction from Intraday Data, the Journal of Finance, 46(2).
33- Maddala, G.S, Dobson. S., Miller, E., 1995, Microeconomics: The Regulation of Monopoly, Chapter. 10, Press Mc Grawhill Book Company, 189-195.
34- Mas-Colell, A., Whinston, M.D. and Green, J.R., 1995, Microeconomic Theory: Oxford University press, New York.
35- Molyneux, P., Lloyd-Williams, D.M. and Thornton, J., 1994, Competitive Conditions in European Banking, Journal of banking and finance, 18(3).
36- Myers, S. C., & Majluf, N. S., 1984, Corporate Financing and Investment Decisions When Firms Have Information That Investors do not Have, Journal of Financial Economics, 13(2), 187-221.
37- Panzar, J.C. and Rosse, J.N., 1987, Testing for "Monopoly" Equilibrium, The journal of industrial economics.
38- Schaeck, K., Cihak, M. and Wolfe, S., 2009, Are Competitive Banking Systems more Stable?, Journal of Money, Credit and Banking, 41(4).
39- Shaffer, S., 1982, Competition, Conduct and Demand Elasticity, Economics Letters, 10(1-2).
40- Shephard, W.G., 1990, the Economics of Industrial Organization, Prentice HALL.
41- Spence, M., 1976, Informational Aspects of Market Structure: an Introduction, the Quarterly Journal of Economics, 90.
42- Spindler, M., W, J. and Hagmayer, S., 2014, Asymmetric Information in the Market for Automobile Insurance: Evidence from Germany, Journal of Risk and Insurance, 81(4).
43- Stiglitz, J. and Greenwald, B., 2003, Towards a New Paradigm in Monetary Economics, Cambridge University Press.
44- Stiglitz, J.E. and Weiss, A., 1981, Credit Rationing in Markets with Imperfect Information, The American Economic Review, 71(3), 393-410.
45- Stiglitz, J.E., 2000, the Contributions of The Economics of Information to Twentieth Century Economics, The Quarterly Journal of Economics, 115(4).
46- Wang, K.T. and Wang, W.W., 2017, Competition in the Stock Market with Asymmetric Information, Economic Modelling, 61.
47- Xanthos, F., 2014, A Note on the Equilibrium Theory of Economies with Asymmetric Information, Journal of Mathematical Economics, 55.
48- Yildirim, H.S. and Philippatos, G.C., 2007, Restructuring, Consolidation and Competition in Latin American Banking Markets, Journal of Banking and Finance, 31(3).
49- Zajac, E.J., 1990, CEO Selection, Succession, Compensation and Firm Performance: a Theoretical Integration and Empirical Analysis, Strategic Management Journal, 11(3).
_||_
1- Akbari Roshan, Mahdieh, Shakri, Abbas, 2013, the effect of government spending, liquidity and market structure on the financial development of the stock market, Economic Research Journal, Volume 14, Number 53, 109-142.
2- Pendik, Robert S., Robinfield, Daniel A., Microeconomics, translated by Ahmad Zihjazadeh, Tehran: Samit Publishing House, 1381-82.
3- Parivian, Afshana, Zaranejad, Mansour, 2013, investigation of the relationship between market structure and the performance of the insurance industry in Iran, New Insurance World News, No. 176, 4-17.
4- Jahankhani, Ali, Abdo Tabrizi, 1372, Hossein, Theory of Capital Market Efficiency, Financial Research, Volume 1, Number 1.
5- Hakhati, Soraya, (2014), the relationship between capital structure, company performance and market competition in the Tehran Stock Exchange, supervisor: Arash Tahriri, consultant: Ezzatoleh Abbasian, master's thesis in the field of accounting, University of Tehran, Alborz campus.
6- Khodadad Kashi, Farhad, Industrial Economy (theory and application), 4th edition, Tehran: Somit Publications, 2013.
7- Zamaniyan, Gholamreza, Jalali, M.Albanin, Kurdi Tamandani, Ali, 2016, The approach of the informed exchange probability model in investigating the effect of information asymmetry on stock returns and trading volume in selected companies of the Tehran Stock Exchange, Financial Economy, Volume 11, Number 41 .
8- Sobhani, Hassan, Razm Ange, Mehdi, 2017, the consequences of risk-taking and banks' competition in attracting deposits in conditions of information asymmetry; A case study of Iran's banking system, Economic Strategy, Volume 7, Number 26, 169-197.
9- Shamsaldini, Mostafa, Shahiki Tash, Mohammadnabi, Khodadad Kashi, Farhad, 2016 measuring the coefficient of information asymmetry of companies active in the food and beverage industry of Tehran Stock Exchange, Agricultural Economy and Development, Volume 31, Number 1.
10- Sadraei Javaheri, Ahmad, Hadizadegan, Masoumeh, 2013, Validity of theories of efficient structure and market power in Iran's pharmaceutical industry, Researches and Economic Policies, Volume 22, Number 69, 25-48.
11- Kiamhar, Ali, Walei, Mohammad, 2015, investigating the effect of product market competition on the relationship between capital structure and company performance, the second national conference and the second international conference on management and accounting in Iran, Hamedan.
12- Mehrara, Mohsen, Haji Karimian, Paniz, 2016, the effect of market concentration on the performance of the banking system in Iran, Islamic Economics and Banking, No. 20, 33-48.
13- Akerlof, G.A., 1970, The Market for “Lemons” Quality Uncertainty and the Market Mechanism, The Quarterly Journal of Economics, 84(3).
14- Alhaj-Yaseen, Y. S., Barkoulas, J. T., and Ouandlous, A., 2020, Liberalization and Asymmetric Information Flow Dynamics in the Chinese Equity Markets, the Journal of Economic Asymmetries, 21, e00151.
15- Al-Muharrami, S., Matthews, K., & Khabari, Y., 2006, Market Structure And Competitive Conditions In The Arab GCC Banking System, Journal of Banking & Finance, 30(12), 3487-3501.
16- Apergis, N., Fafaliou, I. and Polemis, M.L., 2016, New Evidence on Assessing the Level of Competition in the European Union Banking Sector: a Panel Data Approach, International Business Review, 25(1).
17- Balakrishnan, K., Vashishtha, R., and Verrecchia, R. E., 2019, Foreign Competition for Shares and the Pricing of Information Asymmetry: Evidence from Equity Market Liberalization, Journal of Accounting and Economics, 67(1), 80-97.
18- Bessembinder, H., 2003, Trade Execution Costs and Market Quality after Decimalization, Journal of Financial and Quantitative Analysis, 38(4).
19- Bikker, J.A. and Groeneveld, J.M., 2000, Competition and Concentration in the EU Banking Industry, Kredit und Kapital, 33.
20- Bikker, J.A. and Haaf, K., 2002, Competition, Concentration and their Relationship: An Empirical Analysis of the Banking Industry, Journal of banking and finance, 26(11).
21- Bikker, J.A., Shaffer, S. and Spierdijk, L., 2012, Assessing Competition with the Panzar-Rosse Model: The Role of Scale, Costs, and Equilibrium, Review of Economics and Statistics, 94(4).
22- Billett, M.T., Garfinkel, J.A. and Yu, M., 2017, The Effect of Asymmetric Information on Product Market Outcomes, Journal of Financial Economics, 123(2).
23- Capron, L. and Shen, J.C., 2007, Acquisitions of Private Vs. Public Firms: Private Information, Target Selection, and Acquirer Returns, Strategic Management Journal, 28(9).
24- Claessens, S. and Laeven, L., 2004, What Drives Bank Competition? Some International Evidence, Journal of Money, Credit and Banking, 36.
25- Clarke, J. and Shastri, K. 2000, On Information Asymmetry Metrics, Social Science Research Network Electronic Paper Collection, and Available at http: //ssrn.com/abstract=251938 (visited 8 May 2016).
26- Cohen, B.D. and Dean, T.J., 2005, Information Asymmetry and Investor Valuation of Ipos: Top Management Team Legitimacy as a Capital Market Signal, Strategic Management Journal, 26(7).
27- Crawford, G.S., Pavanini, N. and Schivardi, F., 2018, Asymmetric Information and Imperfect Competition in Lending Markets, American Economic Review, 108(7).
28- Fang, H. and Wu, Z., 2018, Multidimensional Private Information, Market Structure, and Insurance Markets, the RAND Journal of Economics, 49(3).
29- Glosten, L.R. and Harris, L.E., 1988, Estimating the Components of the Bid/Ask Spread, Journal of Financial Economics, 21(1).
30- Kaplanski, G. and Levy, H., 2015, Trading Breaks and Asymmetric Information: the Option Markets, Journal of Banking and Finance, 58.
31- Laussel, D., 2018, Complementary Monopolies with Asymmetric Information: A Private Common Agency Model, SSRN Electronic Journal.
32- Lee, C.M. and Ready, M.J., 1991, Inferring Trade Direction from Intraday Data, the Journal of Finance, 46(2).
33- Maddala, G.S, Dobson. S., Miller, E., 1995, Microeconomics: The Regulation of Monopoly, Chapter. 10, Press Mc Grawhill Book Company, 189-195.
34- Mas-Colell, A., Whinston, M.D. and Green, J.R., 1995, Microeconomic Theory: Oxford University press, New York.
35- Molyneux, P., Lloyd-Williams, D.M. and Thornton, J., 1994, Competitive Conditions in European Banking, Journal of banking and finance, 18(3).
36- Myers, S. C., & Majluf, N. S., 1984, Corporate Financing and Investment Decisions When Firms Have Information That Investors do not Have, Journal of Financial Economics, 13(2), 187-221.
37- Panzar, J.C. and Rosse, J.N., 1987, Testing for "Monopoly" Equilibrium, The journal of industrial economics.
38- Schaeck, K., Cihak, M. and Wolfe, S., 2009, Are Competitive Banking Systems more Stable?, Journal of Money, Credit and Banking, 41(4).
39- Shaffer, S., 1982, Competition, Conduct and Demand Elasticity, Economics Letters, 10(1-2).
40- Shephard, W.G., 1990, the Economics of Industrial Organization, Prentice HALL.
41- Spence, M., 1976, Informational Aspects of Market Structure: an Introduction, the Quarterly Journal of Economics, 90.
42- Spindler, M., W, J. and Hagmayer, S., 2014, Asymmetric Information in the Market for Automobile Insurance: Evidence from Germany, Journal of Risk and Insurance, 81(4).
43- Stiglitz, J. and Greenwald, B., 2003, Towards a New Paradigm in Monetary Economics, Cambridge University Press.
44- Stiglitz, J.E. and Weiss, A., 1981, Credit Rationing in Markets with Imperfect Information, The American Economic Review, 71(3), 393-410.
45- Stiglitz, J.E., 2000, the Contributions of The Economics of Information to Twentieth Century Economics, The Quarterly Journal of Economics, 115(4).
46- Wang, K.T. and Wang, W.W., 2017, Competition in the Stock Market with Asymmetric Information, Economic Modelling, 61.
47- Xanthos, F., 2014, A Note on the Equilibrium Theory of Economies with Asymmetric Information, Journal of Mathematical Economics, 55.
48- Yildirim, H.S. and Philippatos, G.C., 2007, Restructuring, Consolidation and Competition in Latin American Banking Markets, Journal of Banking and Finance, 31(3).
49- Zajac, E.J., 1990, CEO Selection, Succession, Compensation and Firm Performance: a Theoretical Integration and Empirical Analysis, Strategic Management Journal, 11(3).
