بررسی رفتار تودهوار و عدم تقارن آن در دوره حباب بورس اوراق بهادار تهران | ||
| چشم انداز مدیریت مالی | ||
| دوره 14، شماره 47، 1403، صفحه 9-33 اصل مقاله (1.25 M) | ||
| نوع مقاله: علمی - پژوهشی | ||
| شناسه دیجیتال (DOI): 10.48308/jfmp.2024.105023 | ||
| نویسندگان | ||
| احمد بدری* 1؛ محمد اصولیان2؛ مهدی کریمی3 | ||
| 1دانشیار، گروه مدیریت مالی و بیمه، دانشگاه شهید بهشتی، تهران، ایران | ||
| 2استادیار، گروه مدیریت مالی و بیمه، دانشگاه شهید بهشتی، تهران، ایران | ||
| 3کارشناسی ارشد، گروه مدیریت مالی و بیمه، دانشگاه شهید بهشتی، تهران، ایران | ||
| چکیده | ||
| هدف: عدم تقارن رفتار تودهوار به معنای تفاوت میزان وقوع این رفتار در بازار با بازدهی مثبت و بازار با بازدهی منفی میباشد. با در نظر گرفتن اینکه پرشهای بازده میتواند ناشی از اطلاعاتی باشد که معاملهگران مبتدی بازار را به تقلید از رفتار سایرین ترغیب میکند و با توجه به تایید قدرت توضیحدهندگی پرشهای بازده در خصوص رفتار تودهوار در پیشینهپژوهش و از سوی دیگر اهمیت بررسی عدم تقارن این رفتار در دوره حباب ، هدف این پژوهش بررسی رفتار تودهوار، عدم تقارن آن و قدرت توضیحدهندگی پرشهای بازده در خصوص این پدیده در سه دوره زمانی (دورههای قبل، حین و بعد از وقوع حباب) در بورس اوراق بهادار تهران میباشد. روش: در این پژوهش، رفتاربازده شرکتهای پذیرفته شده در بورس اوراق بهادار تهران از 5 اسفند ماه سال 1393 (تاریخ تشکیل شاخص هموزن) تا 29 اسفند ماه سال 1401 با استفاده از روش انحراف مطلق مقطعی بازده (CSAD) مورد بررسی قرار گرفته است. پرشهای بازده با در نظر گرفتن دادههای پنج دقیقهای شاخص هموزن به کمک واریانس تحققیافته و واریانس bipower محاسبه گردیده است. روش انحراف مطلق مقطعی بازده با توجه به انحراف بازدههای قیمتی سهمهای منفرد( تشکیل دهنده شاخص) از بازده شاخص، رفتار تودهوار را به صورت روزانه مورد آزمون قرار میدهد. همچنین نتایج روش انحراف مطلق مقطعی بازده جهت بررسی ارتباط سایر متغیرها با رفتار تودهوار مورداستفاده قرارگرفته است. برای آزمون عدم تقارن رفتار تودهوار از تفاوت میزان وقوع رفتار تودهوار در بازار با بازدهی مثبت و بازار با بازدهی منفی (با در نظر گرفتن پرشهای بازده و بدون در نظر گرفتن آن) استفاده شده است. یافتهها: نتایج این مطالعه نشان داد که درهر سه دوره مورد بررسی، پرشهای بازده در بورس اوراق بهادار تهران قابل مشاهده است. تنها در دوره سوم مورد بررسی (بدون در نظر گرفتن تفکیک بازدهی مثبت و منفی بازار و پرشهای بازده) وقوع رفتار تودهوار در بورس اوراق بهادار تهران تایید میشود. در شرایط بازده منفی بازار (بدون در نظر گرفتن پرشهای بازده) وقوع رفتار تودهوار در هر سه دوره مورد بررسی، تایید میشود. با در نظر گرفتن پرشهای بازده، ضریب تعیین تعدیل شده افزایش مییابد بنابراین میتوان گفت که قدرت توضیح دهندگی مدل افزایش یافته است. نتیجهگیری: با توجه به مشاهده وقوع رفتار تودهوار در بازار با بازدهی منفی و عدم مشاهده آن در بازار با بازدهی مثبت (در دوره اول و دوم مورد بررسی)، عدم تقارن رفتار تودهوار در بورس اوراق بهادار تهران مورد تایید قرار میگیرد. در توضیح این عدم تقارن میتوان گفت که در بازارهای منفی، سرمایهگذاران به دلیل استرس و ریسکهای مرتبط با شرایط نزولی بازار، تمایل بیشتری به تقلید از دیگران دارند. در مقابل، در بازارهای مثبت که سرمایهگذاران ریسکهای کمتری را احساس میکنند، تمایل به تقلید از رفتار سایر فعالان بازار، کمتر از بازار با بازدهی منفی است. همچنین قدرت توضیحدهندگی مدل در خصوص رفتار تودهوار با در نظر گرفتن پرشهای بازده افزایش مییابد. | ||
| کلیدواژهها | ||
| رفتار تودهوار؛ عدم تقارن رفتار تودهوار؛ پرشهای بازده؛ حباب بورس اوراق بهادار | ||
| عنوان مقاله [English] | ||
| Herd Behavior Asymmetry During the Tehran Stock Exchange Bubble | ||
| نویسندگان [English] | ||
| Ahmadi Badri1؛ Mohammad Osoolian2؛ Mahdi Karimi3 | ||
| 1Associate Prof, Department of Financial Management and Insurance, University of Shahid Beheshti, Tehran, Iran | ||
| 2Assistant Prof, Department of Financial Management and Insurance, University of Shahid Beheshti, Tehran, Iran. | ||
| 3MSc. in Financial Management, University of Shahid Beheshti, Tehran, Iran. | ||
| چکیده [English] | ||
| Objective: Herd behavior asymmetry refers to the tendency for herd behavior to manifest with varying frequency depending on whether market returns are positive or negative. This phenomenon is particularly influenced by return jumps, which often arise from impactful information that leads less experienced traders to mimic the trading patterns of others. Considering the significant role that return jumps play in explaining herd behavior and the necessity of understanding this asymmetry within the context of the Tehran Stock Exchange (TSE) bubble, the objective of this research is to thoroughly investigate herd behavior, its asymmetrical nature, and the impact of return jumps on this behavior across different market periods, namely before, during, and after the occurrence of the TSE bubble. This research is designed to offer a comprehensive examination of how herd behavior fluctuates under various market conditions and the specific influence of return jumps, thereby contributing valuable insights into investor behavior, particularly during times of market volatility. Method: The research covers an extensive dataset of companies listed on the TSE, spanning from February 24, 2015 (the launch date of the equal-weight index), through March 20, 2023. To assess herd behavior on a daily basis, the study utilizes the Cross-Sectional Absolute Deviation (CSAD) method, which is well-suited for capturing the degree to which individual stock returns deviate from the overall index return. Furthermore, to measure and ensure the robustness of return jumps, intraday data at five-minute intervals of the equal-weight index was employed. Realized variance and bipower variance methods were used to accurately quantify return jumps. The analysis compares the frequency of herd behavior under both positive and negative market return conditions, with and without the incorporation of return jumps, thereby rigorously testing the asymmetry of herd behavior. By integrating return jumps into the model, the study aims to determine the extent to which sudden price movements influence herd behavior, particularly in periods marked by significant market fluctuations. Findings: The findings reveal that, without distinguishing between positive and negative returns, there is no observable herd behavior across the three studied periods on the TSE. However, when examining negative market return conditions (without accounting for return jumps), herd behavior becomes evident in each of the analyzed periods. Upon incorporating return jumps into the analysis, the model's explanatory power is significantly enhanced, as indicated by the notable increase in the adjusted R-squared value. This underscores the importance of return jumps in explaining herd behavior. Conclusion: The study confirms the presence of herd behavior in negative return markets, while no such behavior is detected in positive return markets, thereby demonstrating an asymmetric pattern in herd behavior on the TSE. This asymmetry can be attributed to the heightened inclination of investors to mimic others during bearish market conditions, driven by stress and increased perceived risks. Conversely, in bullish markets, investors experience lower levels of perceived risk and are less prone to follow the crowd. The results further validate the explanatory power of return jumps, emphasizing their role in influencing herd behavior and highlighting the impact of abrupt price movements on market dynamics. | ||
| کلیدواژهها [English] | ||
| Herding, Herding Asymmetry, Market Bubble, Return Jump | ||
| مراجع | ||
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