مروری بر اهمیت و چرایی پیش‎بینی بازده سهام: با تأکید بر متغیرهای کلان اقتصادی

نوع مقاله : مقاله ترویجی

نویسندگان

1 دکترای مدیریت مالی دانشگاه آزاد اسلامی

2 استادیار گروه مدیریت بازرگانی، دانشگاه آزاد اسلامی، واحد تنکابن، تنکابن، ایران،

3 دانشجوی دکترای اقتصاد دانشگاه شهید باهنر کرمان،

چکیده

ﺿﺮورت و ﺗﻮﺟﻪ ﺑﻪ ﻣﺴﺎﺋﻞ آﯾﻨﺪه و ﭘﯿﺶ‎ﺑﯿﻨﯽ آنﻫﺎ از دﯾﺮﺑﺎز در ﺑﺎزارﻫﺎی ﻣﺎﻟﯽ ﻣﻄﺮح ﺑﻮده و موضوع پیش‎بینی به عنوان عامل منحصربفردی محسوب می‎گردد که ارزش‎های ناشناخته‎ آتی را مورد برآورد قرار می‎دهد. با توجه به اهمیت پیش‎بینی در تحقیقات مالی، پیش‎بینی بازده سهام تاکنون از طریق مدل‎ها و متغیرهای مختلفی مورد آزمون و بررسی قرارگرفته است. عمده این متغیرها علاوه بر متغیرهای داخلی، متغیرهای خارجی بوده که مبتنی بر متغیرهای کلان اقتصادی بوده است. با توجه به موارد فوق، پژوهش حاضر به صورت مروری و با رویکرد تحقیقات تجربی به برخی از مهمترین متغیرهای کلان اقتصادی که پیش از این در انواع مدل‌های پیش‌بینی بازده سهام بیشتر مورد استفاده قرار گرفتند، پرداخته است. نتایج پژوهش نشان ‎می‎دهد که اولاً متغیرهای کلان اقتصادی اشاره شده به جهت قابلیت تأثیرپذیری بر بازار سهام (بازده سهام یا شاخص بازار)، مناسب مدلسازی برای پیش‎بینی بازده سهام هستند. دوم اینکه در بازار سهام کشور ما نتایج تأثیرگذاری این متغیرها بر بازده سهام در قیاس با سایر کشورها در برخی جهات مشابه و در برخی نیز متناقض بوده است و دلایل را می‎توان به استفاده از نوع مدل‎های پیش‎بینی، دوره زمانی پژوهش و نیز متفاوت بودن ساختار اقتصادی کشور مربوط دانست.

کلیدواژه‌ها


عنوان مقاله [English]

An Overview of the Importance and Why the Stock Return Prediction, with Emphasis on Macroeconomic Variables

نویسندگان [English]

  • meysam kaviani 1
  • Seyed Fakhreddin Fakhrehosseini 2
  • fatemeh dastyar 3
1 PHD , Financial Management
2 Assistant Professor, Business Administration Department, Islamic Azad University, Tonekabon Branch, Tonekabon, Iran
3 Shahid Bahonar University, Kerman, Iran
چکیده [English]

The need for and attention to the future and their relevance has been repeatedly discussed in our markets and the subject of forecasting is a unique factor that estimates future unknown values. Given the importance of forecasting in financial research, stock return predictions have so far been tested through various models and variables. Most of these variables, were external variables based on macroeconomic variables in addition to internal variables. In the light of the above, the present article reviews and empirically investigates some of the most important macroeconomic variables that were previously used in a variety of stock return forecasting models. The results of the paper show that macroeconomic variables effective on the stock market (stock return or market index) are suitable for modeling to predict stock returns. In the stock market of our country, the results of the impact of these variables on stock returns have been similar in some respects and contradictory in other respects, and the reasons can be attributed to the type of forecasting models, the time period of the research and different economic structure of the country.

کلیدواژه‌ها [English]

  • Predicting
  • Macroeconomic Variables
  • Stock Return
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