سامانه مدیریت نشریات علمی دانشگاه شهید بهشتی

کوهستانی, ندا, داداشی, ایمان, غلام نیا روشن, حمیدرضا, آذین‌فر, کاوه. (1402). ویژگی‏‌های روز و عملکرد بازار سهام. , 13(44), 33-58. doi: 10.48308/jfmp.2024.104307
ندا کوهستانی; ایمان داداشی; حمیدرضا غلام نیا روشن; کاوه آذین‌فر. "ویژگی‏‌های روز و عملکرد بازار سهام". , 13, 44, 1402, 33-58. doi: 10.48308/jfmp.2024.104307
کوهستانی, ندا, داداشی, ایمان, غلام نیا روشن, حمیدرضا, آذین‌فر, کاوه. (1402). 'ویژگی‏‌های روز و عملکرد بازار سهام', , 13(44), pp. 33-58. doi: 10.48308/jfmp.2024.104307
کوهستانی, ندا, داداشی, ایمان, غلام نیا روشن, حمیدرضا, آذین‌فر, کاوه. ویژگی‏‌های روز و عملکرد بازار سهام. , 1402; 13(44): 33-58. doi: 10.48308/jfmp.2024.104307

ویژگی‏‌های روز و عملکرد بازار سهام

چشم انداز مدیریت مالی
مقاله 2، دوره 13، شماره 44، 1402، صفحه 33-58    اصل مقاله (1.81 M)
نوع مقاله: علمی - پژوهشی
شناسه دیجیتال (DOI): 10.48308/jfmp.2024.104307
نویسندگان
ندا کوهستانی1؛ ایمان داداشی* 2؛ حمیدرضا غلام نیا روشن3؛ کاوه آذین‌فر3
1دانشجوی دکتری حسابداری، واحد بابل، دانشگاه آزاد اسلامی، بابل، ایران.
2استادیار، گروه حسابداری، دانشگاه قم، قم، ایران
3استادیار، گروه حسابداری، واحد بابل، دانشگاه آزاد اسلامی، بابل، ایران
چکیده
در این پژوهش تاثیر ویژگی‏‌های روز به عنوان یکی از مهم‌ترین عوامل محیطی تأثیرگذار بر فرایند تصمیم‌گیری سرمایه‏‌گذاران، بر عملکرد روزانه بازار سهام مورد بررسی قرار گرفته است. برای آزمون فرضیه‏‌ها، از مشاهدات روزانه طی دورۀ زمانی 1390 تا 1399 و روش رگرسیون خود توضیح با وقفه‏‌های گسترده بعد از انجام پیش آزمون‌‏های آماری شامل مانایی، همخطی، خودهمبستگی و عدم ناهمسانی واریانس استفاده شده است. نتایج نشان داد که متغیرهای سرعت باد، نرخ طلا با یک وقفه، صرفه‏جویی نور روز، اثر فروردین و اثر تقویمی تعطیلات اثر مثبت و معناداری بر بازده بازار سهام؛ و متغیر نرخ طلا دارای اثر منفی بر آن می‏باشد. همچنین متغیرهای نرخ طلا با وقفه، رطوبت و سرعت باد اثر مثبت و معناداری بر حجم معاملات و متغیرهای وضعیت هوا با یک وقفه، سطح افق دید، نرخ ارز، نرخ طلا، نرخ طلا با یک وقفه، نور روز و اثر شنبه داری اثر منفی بر آن هستند. متغیرهای دما، رطوبت با یک وقفه، نور روز با یک وقفه، نرخ طلا و اثر تقویمی تعطیلات دارای اثر مثبت و معناداری بر تعداد معاملات و متغیرهای سرعت باد، وضعیت هوا با یک وقفه، نور روز، نرخ رشد ارز، سطح افق دید و اثر شنبه  دارای اثر منفی بر آن بوده‏‌اند.
کلیدواژه‌ها
مالی رفتاری؛ ویژگی های روز؛ آب و هوا؛ عملکرد بازار سهام؛ رگرسیون خود توضیح با وقفه‏‌های گسترده
عنوان مقاله [English]
Day Features and Stock Market Performance
نویسندگان [English]
Neda Kuhestani1؛ Iman Dadashi2؛ Hamidreza Gholamnia Roshan3؛ Kaveh Azinfar3
1Ph.D. student of Accounting, Babol branch, Islamic Azad University, Babol, Iran.
2Assistant prof., Department of Accounting, University of Qom, Qom, Iran
3Assistant prof., Department of Accounting, Babol branch, Islamic Azad University, Babol , Iran.
چکیده [English]
In this research, the effect of day characteristics as one of the most important environmental factors influencing the decision-making process has been investigated. Daily observations of 2011 to 2020 and ARDL regression were used. After performing statistical pre-tests, including mean, collinearity, autocorrelation, and non-homogeneity of variance. The results showed that variables such as wind speed, gold with a lag, daylight savings, January effect, and the calendar effect of holidays have a positive and significant effect on stock market returns. However, the gold variable has a negative effect on it. Additionally, Variables like gold with a lag, humidity, and wind speed have a positive effect on the volume of transactions. On the other hand, variables such as weather with a lag, horizon level, exchanges rate, gold with a lag, daylight, and Saturday effect have a negative effect on the volume of transactions.  Furthermore, the variables of temperature, humidity with one lag, Daylight with one lag, gold, and the calendar effect of holidays have a positive effect on the number of transactions. Conversely, variables like wind speed, weather with one lag, daylight, currency growth rate, horizon level, and the effect of Saturday have a negative effect on the number of transactions.
کلیدواژه‌ها [English]
Behavioral finance, Day characteristics, Weather, Stock market performance, ARDL
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