بررسی رفتار توده ای متقابل میان بازار نفت خام و بورس اوراق بهادار تهران (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
در ایران 80 تا 90 درصد درآمدهای صادراتی و 40 تا 50 درصد بودجه سالانه دولت را درآمدهای نفتی (مطابق بودجه مصوب سال های 97-98 ) تشکیل می دهد. همچنین، درآمد فروش نفت بالغ بر 20 درصد تولید ناخالص داخلی ایران می باشد. بر این اساس اقتصاد ایران به صورت گسترده ای به صادرات نفت خام وابسته است و شوک بازارهای جهانی نفت می تواند برای ساختار اقتصادی ایران از جمله بازار سرمایه حائز اهمیت باشد. این پژوهش به بررسی راهبردی رفتار توده ای متقابل در بازار سهام ایران و بازار نفت خام پرداخته است. بدین منظور در این پژوهش از داده های ماهیانه در بین سال های 1390 تا 1398 برای 50 شرکت برتر بورس اوراق بهادار تهران و نفت خام اوپک استفاده شده است. نتایج بررسی بر اساس دو معیار تبیین کننده رفتار توده ای، موید وجود رفتار توده ای متقابل و یک الگوی راهبردی بین 50 شرکت برتر بورسی و بازار نفت خام اوپک بوده است. همچنین نتایج نشان می دهد که بین این دو بازار رابطه رفتار توده ای سرمایه گذاران به صورت متقابل است. یکی از دلایل اهمیت واکاوی تأثیر بازارهای موازی بر بازده سهام، امکان طراحی راهبرد معاملاتی جهت بهره بردن در استراتژی های سرمایه گذاری است. با توجه به تأیید رابطه متقابل میان دو بازار مذکور، برای اتخاذ راهبرد معاملاتی مناسب می توان بازار نفت را یکی از راهبردهای استراتژی سرمایه گذاری در بورس اوراق بهادار تهران دانست.A strategic investigation of herding behavior between crude oil market and the tehran stock exchange
Introduction: The stock market is one of the most important and influential segments of the financial market in any economy [1]. This market reflects the economic situation of countries because one of its functions is to collect capital and transfer it to individuals and companies seeking investment. In addition, the capital market is one of the most important pillars for financing. The stock returns of listed companies can be affected by various factors. Changes in oil prices can be considered as one of the important factors affecting the stock market. Oil-exporting countries, of which oil is an important source of income, are affected by the fluctuation of the price of this black gold, their economy is affected more than other countries, and also their budgets, which often rely on oil prices, are affected in this regard. In countries such as Iran, where their main source of income comes from oil sales and whose budgets rely heavily on oil, the impact of oil price fluctuations on various sectors of the economy has been a concern for policymakers and economists. One of the most important sectors is the stock market, where economic developments and oil prices are increasingly being considered by researchers to make the relationship between the two more obvious over time. Accordingly, the purpose of this study is to investigate the relationship between the herding of the crude oil market and the Tehran Stock Exchange.Methodology: In the study of herding behavior, financial literature is divided into two main branches: The first branch of measures of herding behavior based on efficiency dispersion [2]. The second proposal is a statistical criterion based on analysts' transactions [3]. In this study, based on the approaches of Christie and Huang (1995), the herding behavior between the stock market (with the index of the top 50 companies of the Tehran Stock Exchange) and the crude oil market has been investigated.Christie and Huang (1995) presented the standard deviation of the CSSD cross-sectional study as a model of herding behavior. Their model is as follows: where N is equal to the number of securities that make up the market index, is equal to the return on securities i in period t, is equal to the average yield of N securities from the market portfolio for day t. If there is herding behavior in securities, then the dispersion will be low. In fact, because herding behavior tends to follow market trends (ascending or descending), securities follow market trends and thus dispersion decreases. Christie and Huang (1995) model believes that herding behavior occurs more during intense market movements (ups and downs).Results and Discussion: The results show that the regression coefficient of the square market return is negative and statistically significant. The existence of a negative coefficient for the stock market and crude oil market returns indicates the reduction of deviations of companies' returns from market returns during the market turmoil (increasing or decreasing). Reducing the deviations of companies' returns from market returns means the existence of herding behavior in the market.Also, in examining the existence of herding behavior in a reciprocal manner, the results of examining the hypothesis of the existence of reciprocal herding behavior in the stock market and crude oil market in the stock market are confirmed. The existence of a negative square coefficient for the variable market return indicates a decrease in the deviations of companies' returns from market returns, when the cross-market, i.e. oil or stock market, is fluctuating. Thus, the hypothesis of the existence of reciprocal herding behavior in the stock market is confirmed. The results of this section are similar to the research of Balcilar, Demirer [4], Gong and Dai [5], and Mabrouk [6].Conclusion: This study investigates the reciprocal herding behavior between the stock market and the crude oil market in Iran. The results of the herding behavior indicate the existence of herding behavior among the top 50 companies on the Tehran Stock Exchange and the OPEC oil market between 2011 and 2019. The results of the study based on two criteria explaining herding behavior, confirmed the existence of herding behavior between the top 50 listed companies and the OPEC crude oil market. The results also show that the relationship between the herding behavior of investors is reciprocal between these two markets.
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