بررسی رابطه علیت بین عرضه اولیه سهام و عوامل کلان اقتصادی (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
اهداف: عرضه های اولیه نقطه عطف مهمی در بحث سرمایه گذاری محسوب می شوند. این نوع از سهام نه تنها کمبود منابع و محدودیت سرمایه ای پیش روی شرکت ها را برداشته و زمینه لازم را برای تأمین نقدینگی شرکت ها فراهم می کند، بلکه مجموعه ای گسترده از استراتژی های سرمایه گذاری را پیش روی شرکت ها قرار می دهد؛ از این رو، هدف اصلی بررسی رابطه علیت گرنجری بین تعداد عرضه های اولیه سهام با فاکتورهای کلان اقتصادی ازجمله تولیدات صنعتی، نرخ بهره به بدهی دولت، بازار سهام و نوسان ها بازار سهام ایران است.روش: به منظور دستیابی به هدف فوق از الگوی خودرگرسیون برداری (VAR) طی دوره زمانی 1398-1370 برای بررسی رابطه علیت گرنجری بین تعداد عرضه های اولیه سهام با متغیرهای کلان اقتصادی استفاده شده است.نتایج: یافته ها حاکی است که تعداد عرضه های اولیه علیت گرنجری رشد تولیدات صنعتی و نوسان های شاخص کل است و مشخص شد، تعداد عرضه اولیه، علت رشد شاخص کل و نوسانات بازار سهام و نرخ بهره به بدهی دولت بوده است. به این معنا که عوامل کلان اقتصادی ازجمله تولیدات صنعتی، نرخ بهره به بدهی دولت و بازار سهام به تکانه کوچک از تعداد عرضه های اولیه حساس است و پیامدهای کلان اقتصادی در ایران دارد. براساس نتایج حاصل شده ادعا می شود، منابع مالی به دست آمده از طریق تعداد عرضه های اولیه شرکت ها همه نباید صرف هزینه دولت شود و بهتر است، منابع مالی به دست آمده صرف توسعه و پیشرفت این شرکت ها و بازار سهام شود.Investigating the Causal Relationship Between Stocks’ Initial Public Offerings and Macroeconomic Variables
Initial public offerings (IPO) is considered an important turning point in the investment literature. This type of stock not only removes the constraints of resources and capital limitations faced by companies and provides the necessary basis for providing liquidity to companies, but also offers a wide range of investment strategies to companies. Therefore, the main goal of the present study is to investigate the Granger causality relationship between the number of IPO and macroeconomic variables including industrial production, the interest rate on government debt, stock market, and stock market volatility using the Vector Auto Regression (VAR) model during the period 1991-2019 for the Tehran Stock Exchange. The results showed that the number of IPOs is the reason for the growth of industrial production and the fluctuations of the stock index. It was also found that the number of IPOs was the reason for the growth of the stock index and the fluctuations of the stock market and interest rate due to the government's debt. This means that macroeconomic variables such as industrial production, interest rates on government debt, and the stock market are sensitive to small impulses from the number of IPOs and can have macroeconomic consequences in Iran. Based on the results, it can be acknowledged that the financial resources obtained through the number of IPOs of the companies should not be spent at the expense of the government and it is better to spend the financial resources on the development of these companies and the stock market.Keywords: Granger Causality, Number of Initial public offerings, Industrial Production, the Interest Rate on Government Debt, Stock Market, Stock Market Volatility, Vector Auto Regression (VAR). IntroductionOne of the important factors in achieving economic growth and development is benefiting from developed financial markets. So, today the importance of financial markets is clear. The securities market is considered one of the most important factors in the development of financial markets and economic development because it plays a valuable role in directing stagnant savings and small capital towards active industries in an economy and allocates resources in this field. IPO is considered as one of the most well-known ways of collecting and directing stray capital and stagnant savings to the productive sector of an economy. At the same time that the stock market is affected by IPO, it is strongly influenced by macroeconomic variables, and IPO is no exception to this issue (Angelini & Foglia, 2018). By providing liquidity, reducing the cost of transactions by reducing the cost of searching, and reducing the cost of information, financial markets are a suitable place to move people's stagnant savings towards the production and provision of capital for companies and economic institutions and one of the basic tools in providing capital. Stock markets are among the most important and popular financial markets in most countries, but the fluctuating behavior of this market has always been discussed and investigated. Due to the importance of stock markets in attracting small and large savings, the discussion about determining the factors affecting stock market fluctuations has always been of interest because these fluctuations can be the basis for changes in important macroeconomic variables. In the stock market, wide fluctuations always cause the entry and exit of capital, and the effects of this movement on the economy can be extremely risky (Hsing, 2011). Materials and MethodsIn this study, the Granger and the Toda-Yamamoto causality tests are used to investigate the causality between the number of IPOs and macroeconomic variables. First, to check the stationarity of the variables, the generalized Dickey-Fuller test is used for the time series data from 1991 to 2019. In the following, the Toda-Yamamoto approach and Granger causality are used to investigate the causality between the variables. Finally, instantaneous reaction functions are used to investigate shocks to each of the variables. Research FindingsThe results of the causality tests show that there is no causal relationship between the ratio of interest rate to government debt and the growth of the index and stock market fluctuations to IPOs. In addition, the results indicate the absence of a causal relationship between the ratio of interest rates to government debt, stock market fluctuations, the number of IPOs, and industry with the growth of the stock market index. In addition to this, the causal relationship of the stock market growth rate, the ratio of interest rate to government debt, the number of IPOs, and the industry with stock market fluctuations were not found, and the null hypothesis that there is no causal relationship is confirmed. The results of the causality tests show that there is no causal relationship between the ratio of interest rate to government debt and the growth of the stock index fluctuations to IPOs. There is also no causal relationship between the ratio of interest rate to government debt, stock market volatility, the number of IPOs, and the industry with the growth of the stock index. In addition, the causal relationship of the stock market growth rate, the ratio of interest rate to government debt, the number of IPOs, and the industry with stock market fluctuations were not found, and the null hypothesis that there is no causal relationship is confirmed. The results of this research about the impact and influence between the variables of industry growth and IPOs, IPO and interest rates, and stock market index and industry growth with the contents raised in the studies of Fou et al. (2022), Amorim et al. (2021), Barva and Echter (2021), Idres and Glavina (2020), Carnagia et al. (2019), Hong et al. (2019), Angelini and Foglia (2018), Keong (2019), and Penn and Mishra (2018). Discussion of Results and ConclusionsIPO and its impact on macroeconomic variables can be a breakthrough in planning and policy-making in various programs of economic development. Because according to the above issue, it can be acknowledged that the financial resources obtained through the IPO should not be spent on the government expenses, and it is better to spend it on the development and progress of these companies and the stock market. All government companies should offer all their shares in the stock market in the form of an IPO and the government should use the resources to strengthen and improve the productivity of these companies. To know the fluctuations of the stock market, small investors are suggested to have a complete understanding of how macroeconomic variables affect the volume of the IPO before deciding to invest in the IPO. This is because correct timing when there is a high volume of IPOs can allow retail investors to earn more profits. Careful examination and complete understanding can prevent small investors from making wrong decisions and incurring losses. In the following, the partners who want to issue the IPO are suggested to use their professional knowledge and experience before issuing the initial offering to investigate the causal relationship between IPO and macroeconomic variables. This is because the effect of macroeconomics on the low volume of IPO may indicate that the company is not willing to go public in those economic conditions. After all, it cannot attract enough capital, and fewer investors are willing to invest in that period. Finally, it is recommended to investigate the impact of foreign stock offerings on macroeconomic variables and to investigate the impact of other macroeconomic variables on IPO of research proposals for future studies.
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