اثر ریسک اقتصادی، مالی و سیاسی بر ریسک و بازده بورس اوراق بهادار تهران (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
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 سؤال است که آیا ریسک های سیاسی، مالی و اقتصادی بر ریسک و بازده سهام تأثیر می گذارند؟ کدام ریسک بیشترین تأثیر را بر ریسک و بازده بازار سهام دارد؟ بدین منظور از شاخص بی ثباتی مالی، سیاسی و اقتصادی در چارچوب روش اقتصادسنجی خود رگرسیون برداری ساختاری برای دوره 1398-1387 به صورت ماهانه استفاده شده است. داده های مربوط به ریسک از مجموعه داده ICRG که توسط شرکت PRS منتشر می شود، گرفته شده است. نتایج حاصل از توابع واکنش آنی نشان می دهد 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 تأثیر ریسک مالی؛ سیاسی و اقتصادی نیست و تنها اثر بازده بر ریسک بازار معنی دار است. نتایج حاصل از تجزیه واریانس نیز نشان می دهد به طورکلی 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. می توان ادعا نمود که بازار بورس اوراق بهادار تهران بیشتر تحت تأثیر متغیرهای اقتصادی است؛ بنابراین سیاست گذاری در حوزه های کلان جهت کاهش ریسک اقتصادی لازم به نظر می رسد.The Effect of Economic, Financial and Political Risk on the Risk and Return of Tehran Stock Exchange
1- INTRODUCTION
One 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.
2- THEORETICAL FRAMEWORK
Economic 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.
3- METHODOLOGY
In this research, financial, political, and economic risk indicators in the framework of structural VAR for the period 2008-2019 have been used seasonally. 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.
4- CONCLUSIONS & SUGGESTIONS
The results of the Impulse response functions show that as the economic risk decreases, the stock return risk decreases. But the political and financial risk index has little effect on stock return risk. In other words, stock market risk is more affected by economic variables and political and financial variables have not been able to have much effect on market risk. Also, reducing financial risk has increased stock returns, but the impact of economic risk is first negative and then positive. The effect of political risk on stock market returns is volatile and negligible. The effect of stock market risk on market returns is positive. The results of analysis of variance also show that the economic risk index had the most explanations in stock market return and risk.
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.
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