رابطه بین سیاستهای پولی و تغییرات نرخ ارز با رفتارهای تودهوار سهامداران | ||
| چشم انداز مدیریت مالی | ||
| دوره 14، شماره 45، 1403، صفحه 59-83 اصل مقاله (825.11 K) | ||
| نوع مقاله: علمی - پژوهشی | ||
| شناسه دیجیتال (DOI): 10.48308/jfmp.2024.104887 | ||
| نویسندگان | ||
| محمد اصولیان* 1؛ محمدرضا آسیایی2 | ||
| 1استادیار، گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران. | ||
| 2کارشناسی ارشد حسابداری، گروه حسابداری، دانشگاه فردوسی مشهد، مشهد، ایران | ||
| چکیده | ||
| هدف: در بازارهای مالی و مطالعات مالی-رفتاری، رفتار تودهوار سهامداران عنصری با اهمیت محسوب شده و به فرایندی اشاره دارد که در آن، فعالان بازار سرمایه تصمیمات خود را بدون توجه به اطلاعات و تحلیلهای خود و به تقلید از رفتار دیگران، اخذ مینمایند. تجزیه و تحلیل رفتار تودهوار میتواند درک ما را از چگونگی شکلگیری حباب در بازارهای سهام و کمک به افزایش کارایی بازار سرمایه، بهبود بخشد. با عنایت به اهمیت رفتارهای تودهوار، در این پژوهش به بررسی رابطه بین سیاستهای پولی و تغییرات نرخ ارز با رفتارهای تودهوار سهامداران پرداخته شده است. روش: به منظور اندازهگیری رفتارهای توده وار از مدل چانگ و همکاران (2000) استفاده شده؛ مطابق این مدل، هنگامی که انحراف بازده سهام شرکتهای موجود در بازار از بازده بازار کاهش یابد، نشانههای شکلگیری رفتار تودهوار سهامداران احراز میشود. همچنین جهت اندازهگیری متغیرهای سیاستهای پولی و تغییرات نرخ ارز، به ترتیب از شاخصهای تغییرات فصلی حجم نقدینگی و نیز تغییرات ماهانه نرخ ارز استفاده شده است. یافتهها: با استفاده از دادههای سری زمانی طی سالهای 1390 تا 1400 (شامل دادههای 133 شرکت پذیرفته شده در بورس اوراق بهادار تهران) و استفاده از رگرسیون چند متغیره جهت تحلیل دادهها و آزمون فرضیهها، نتایج تحقیق نشان میدهد که تغییرات نرخ ارز سبب شکلگیری رفتارهای تودهوار در بورس اوراق بهادار تهران میگردد. مضافا، مطابق نتایج تحقیق هرچند تغییرات حجم نقدینگی سبب تشکیل رفتارهای تودهوار سهامداران میشود لیکن، این نتایج از نظر آماری معنیدار نمیباشد. نتیجهگیری: رفتارهای تودهوار سهامداران، سبب افزایش فاصله بین قیمت بازار و ارزش ذاتی سهام شده و افزایش ریسک سقوط قیمت سهام و کاهش کارایی بازار سرمایه را به دنبال دارد. مضافا نتایج برخی مطالعات نشان داده که رفتارهای تودهوار زمانی که بازارها در وضعیت با ثبات قرار دارند (صعودی و یا نزولی) نسبت به زمانی که دچار آشفتگی بوده و ابهام بر بازار حاکم میباشد، بیشتر مشاهده میشود. مفهوم این موضوع آن است که اگر سیاستگذاران قصد اثرگذاری بر رفتارهای تودهوار را دارند، باید زودتر و در زمانی که بازارها هنوز در وضعیت با ثبات هستند و قبل از ورود بازار به بحران مالی و شکلگیری حباب، تصمیمات لازم را اتخاذ و اجرا نمایند. با عنایت به نتایج تحقیق در خصوص تاثیر نوسانات نرخ ارز بر شکلگیری رفتار تودهوار ، پیشنهاد میشود تصمیمگیران در سازمان بورس از این عامل به منظور جهت دهی به رفتارهای سرمایهگذاران و حرکت بازار به سمت ارزشهای ذاتی و پیش گیری از شکلگیری حباب و نیز ریزش بیش از حد بازار، استفاده نمایند. به طور کلی، پیامد مهم نتایج این مطالعه ارائه این موضوع است که ناظران بازار، قانون گذاران و به طور خاص بانک مرکزی، میبایستی هنگام طراحی سیاستها و اخذ تصمیمات مرتبط با سیاستهای پولی شامل تعیین حجم نقدینگی و کنترل نرخ ارز، محدودیتهای بالقوه مدلهای منطقی موجود را در نظر بگیرند. ضمن آنکه میبایستی عناصر رفتاری نگرش مشارکت کنندگان در بازار و سویههای روانی و شناختی در هنگام اخذ تصمیمات یاد شده، در نظر گرفته شود. | ||
| کلیدواژهها | ||
| رفتار تودهوار؛ تغییرات نرخ ارز؛ سیاست پولی؛ حجم نقدینگی | ||
| عنوان مقاله [English] | ||
| Relationship monetary policies and changes in exchange rate with herding behavior | ||
| نویسندگان [English] | ||
| Mohammad Osoolian1؛ Mohamadreza Asiaie2 | ||
| 1Assistant Professor, Department of Financial Management and Insurance, Management and Accounting Faculty, Shahid Beheshti University, Tehran, Iran | ||
| 2Master of Accounting, Department of Accounting, Ferdowsi University of Mashhad, Mashhad, Iran. | ||
| چکیده [English] | ||
| Purpose: In financial markets and behavioral finance studies, herding behavior is a critical phenomenon that significantly affects market dynamics. This behavior occurs when investors make decisions not based on their independent analysis or information but by imitating the actions of others. Understanding herding behavior can provide valuable insights into the formation of bubbles in stock markets and contribute to improving capital market efficiency. Herding often leads to price distortions, creating a gap between market prices and their intrinsic values, ultimately affecting market stability. This study explores the relationship between monetary policies, exchange rate changes, and herding behavior among shareholders in the Tehran Stock Exchange (TSE). Method: To measure herding behavior, the study uses the model developed by Chang et al. (2000), which identifies herding when the deviation of stock returns from the market return decreases, signaling that investors are following market trends rather than making independent decisions. Monetary policy variables are assessed using seasonal changes in liquidity volume, while exchange rate changes are evaluated based on monthly exchange rate fluctuations. This research relies on time-series data spanning from 2011 to 2021, covering 133 companies listed on the TSE. Multivariate regression analysis was employed to test the hypotheses, offering a comprehensive examination of the factors driving herding behavior over a significant period. Findings: The findings indicate that exchange rate fluctuations are a key driver of herding behavior in the Tehran Stock Exchange. As exchange rates fluctuate, investors are more likely to mimic the behavior of others rather than rely on their independent assessments. Additionally, changes in liquidity volume also appear to influence herding behavior; however, these results are not statistically significant. This suggests that while liquidity changes may play a role, they are insufficient on their own to trigger significant herding behavior. The study underscores the importance of maintaining exchange rate stability to mitigate irrational collective behaviors and preserve market discipline. Conclusion: Herding behavior increases the divergence between market prices and the intrinsic values of stocks, leading to higher risks of price crashes and reduced capital market efficiency. This behavior can create conditions for bubbles and subsequent market collapses. Research shows that herding is more prevalent during stable market conditions—whether rising or falling—than in times of volatility and uncertainty. This suggests that investors are more inclined to follow collective trends during predictable market phases, while volatile conditions encourage more individualistic decision-making. To prevent the adverse effects of herding, policymakers should intervene early during stable market conditions, before the onset of financial crises or the formation of bubbles. Proactive measures, such as regulatory frameworks to enhance market transparency and ensure the dissemination of accurate information, are essential. Based on the results of this study, it is recommended that stock market regulators leverage the impact of exchange rate fluctuations to guide investor behavior, steer the market toward intrinsic values, and prevent bubble formation or excessive market collapses. Additionally, policymakers, including the central bank and legislators, must account for the limitations of rational models when designing monetary policies. They should also consider behavioral, psychological, and cognitive factors influencing market participants to ensure policies are more effective in managing market dynamics. | ||
| کلیدواژهها [English] | ||
| Herding Behavior, Exchange Rate Fluctuations, Monetary Policies, Liquidity Volume | ||
| مراجع | ||
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