چکیده:
هدف: مروری بر مطالعات انجام شده در زمینه تأثیر ریسک بر بازار سهام نشان می دهد که مطالعه جامعی برای بررسی تأثیر ریسک سیاسی، مالی و اقتصادی بر بورس اوراق بهادار تهران انجام نشده است. بنابراین، این پژوهش به دنبال پاسخ به این سوال است که آیا ریسکهای سیاسی، مالی و اقتصادی بر ریسک و بازده سهام تأثیر میگذارند؟ کدام ریسک بیشترین تأثیر را بر ریسک و بازده بازار سهام دارد؟روش: بدین منظور از شاخص بیثباتی مالی، سیاسی و اقتصادی در چارچوب روش اقتصادسنجی خود رگرسیون برداری ساختاری برای دوره 1398-1387 بهصورت ماهانه استفادهشده است. دادههای مربوط به ریسک از مجموعه داده ی ICRG که توسط شرکت PRS منتشر میشود استفادهشده است.یافتهها: نتایج حاصل از توابع واکنش آنی نشان میدهد با افزایش شاخص ریسک مالی (معادل کاهش ریسک مالی) بازدهی سهام افزایش یافته است. اثر شاخص ریسک اقتصادی بر بازده سهام منفی است. اما ریسک بازار سهام تحت تاثیر ریسک مالی؛ سیاسی و اقتصادی نیست و تنها اثر بازده بر ریسک بازار معنی دار است. نتایج حاصل از تجزیه واریانس نیز نشان میدهد به طور کلی از بین سه شاخص ریسک مالی، سیاسی و اقتصادی، شاخص ریسک اقتصادی بیشترین توضیح دهندگی را در بازده و ریسک بازدهی بازار سهام داشته است. نتیجهگیری: بهطورکلی میتوان ادعا نمود که بازار بورس اوراق بهادار تهران بیشتر تحت تأثیر متغیرهای اقتصادی است. بنابراین سیاست گذاری در حوزههای کلان جهت کاهش ریسک اقتصادی لازم به نظر می رسد.
AbstractIntroductionOne of the important factors that investors consider in their decision is the return and risk of the stock market. During the last three decades, Iran has faced many risks at the macro-level of society. Increasing economic, financial and political risk affects the level of activities and efficiency of markets. A review of studies of the influence of risk on return and risk Tehran Stock Exchange shows that a comprehensive study to investigate the effect of political, economic, and financial risk with capital markets has not been done. Therefore, this study seeks to answer the question of whether political, economic, and financial risks affect stock risk and return? Which risk has the greatest impact on stock market risk and return? This study tries to examine the effect of political, economic, and financial risks on stock risk and return.Theoretical FrameworkEconomic risk is a tool for assessing a country's economic strengths and weaknesses. Financial risk is a tool to assess a country's ability to pay its costs. Financial risk is a measure of a country's ability to formally finance, trade, and trade liabilities. Political risk is often defined as the undesirable risk of political events.Increasing economic and financial risk affects the stock market through different channels: 1. Impact on investors' expectations and consequently change in the current value of investment projects, change in profit flow or change in the value of assets of firms admitted to the stock market 2. engaging the non-productive sectors and thus changing liquidity flows 3. Changes in international financial flows affect the stock market.Political risk can also affect the stock market through the following channels: 1. Changing economic outlook and consequently changing the trust and behavior of consumers and investors that change the demand and performance of markets 2. Political and social protests as a result of any change of government 3. Changing political parties and consequently changing policymakers' positions on legislation for working-class or upper-class voters 4. Supporting some industries or geographical areas 5. Change in foreign direct investment 6. Affecting the quality and structure of institutions causes instability in prices and market performance.Many studies have been done in this field. For example, Heidari et al. (2015) studied macroeconomic variables affecting the volatility of stock returns on the Tehran Stock Exchange in different regimes using a nonlinear approach to change the Markov Arma Garch multivariate regime. Their results show that the growth rate of GDP has a significant negative effect on the volatility of stock returns. Inflation, money growth rate and exchange rate volatility have a positive and significant effect on different regimes, but oil price volatility has different effects on stock price volatility.Zolfaghari and Sahabi (2016) investigated the effect of exchange rate fluctuations on stock return risk based on Markov regime transfers. The results showed that the industry efficiency index follows regime transitions and responds asymmetrically to external shocks. Also, the risk of return on industry indices are significantly affected by exchange rate fluctuations in the short and long term.The difference between this study and previous studies is that, firstly, none of these studies have examined three types of risks (economic, financial, and political) on the Tehran Stock Exchange simultaneously. Second, most studies have considered the relationship between economic and financial variables and the stock market, and few studies have been conducted on financial and economic risks on the stock market.MethodologyIn this research, financial, political, and economic risk indicators in the framework of structural VAR for the period 2008-2019 have been used monthly. For stock market risk in the form of conditional variance GARCH model is used. The advantage of the SVAR model, unlike the VAR model, is that it has an economic logic based on economic theories.Conclusion and suggestionsThe results of the instantaneous reaction functions show that as increasing the financial system risk index of stock returns has increased. The effect of economic risk index on stock returns is negative. But stock market risk is not affected by financial, political and economic risk, and only the effect of returns on market risk is significant. The results of variance decomposition show that among the three index of financial, political and economic risk, economic risk index has the most explanations in return and stock market return risk. Conclusion: In general, the Tehran Stock Exchange market is more affected by economic variables and financial and political variables have little effect on this market. Therefore, macroeconomic policy-making seems necessary to reduce economic risk.Keywords: economic risk, financial risk, political risk, Stock market risk and return
خلاصه ماشینی:
mfe/١٠٢٢٠٦٧:DOI چکيده مروري بر مطالعات انجام شده در زمينه تأثير ريسک بر بازار سهام نشان مي دهد که مطالعه جامعي براي بررسي تأثير ريسک سياسي، مالي و اقتصادي بر بورس اوراق بهادار تهران انجام نشده است ؛ بنابراين ، اين پژوهش به دنبال پاسخ به اين سؤال است که آيا ريسک هاي سياسي، مالي و اقتصادي بر ريسک و بازده سهام تأثير ميگذارند؟ کدام ريسک بيشترين تأثير را بر ريسک و بازده بازار سهام دارد؟ بدين منظور از شاخص بيثباتي مالي، سياسي و اقتصادي در چارچوب روش اقتصادسنجي خود رگرسيون برداري ساختاري براي دوره ١٣٩٨-١٣٨٧ به صورت ماهانه استفاده شده است .
مطالعات که بر رابطه ريسک هاي سياسي و بازار سهام را بررسي کرده اند ميتوان به Mei and Guo )2004(،2005) (Beaulieu, Cosset J and Essaddam ،2014) (Al-Mahmoud ،Lehkonen and )2015(Heimonen ،2016) (Asteriou and Sarantidis ،2014)(Wang, &Deesomsa &Chau ، )2017(Mnif ،2017) (Chen et al ،2017) (Khan et al ،2019) (Talbi &Ben Moussa )٢٠١٩( ، )٢٠٢١( Ghozzi and Chaibi و )٢٠١٢( Guo et al اشاره کرد.
در دسته دوم مطالعات زيادي نيز در سطح داخلي و خارجي بر رابطه متغيرهاي اقتصادي و مالي با بازار سهام انجام شده است ، براي مثال در مطالعات مي توان به (٢٠١٠( ,Darabi, Ali Farahi ،Shahabadi, )2013(Havaj, &Naziri, ،2016) (Sahabi, &Zolfagari, ، )Azizi, &Rahmani, Peikarjoo, ٢٠١٤(، )٢٠١٥( ,Ostadifar، ,)٢٠١٨( Hashemi, Berenjabadi &Heidari, Refah-Kahriz, و در بين مطالعات خارجي )٢٠١٢( Montes and Tiberto ، )٢٠١٣( Baker&Ulku ، &lez, Nave Gonza )2017(Rubio ،2018) (Abbas, Bashir &Wang ،2019) (Chowdhury &Bhuiyan ،Abbas and )2014(McMillan ،2009a) (Chambers &Abouwafia ،2012b) (Yilmaz &Diebold ، )٢٠١٥(Scharler &Antonakakis, Breitenlechner ، )٢٠١٦( Antonakakis, Breitenlechner و )٢٠٢٠( Masrizal et al اشاره کرد.