بررسی تأثیر متغیرهای کلان اقتصادی بر ریسک سیستماتیک ۵۰ شرکت برتر بورس اوراق بهادار تهران: رویکرد میانگین‌‌گیری مدل بیزی

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشجوی دکتری، گروه اقتصاد مالی، پردیس بین‌المللی ارس، دانشگاه تبریز، تبریز، ایران.

2 دانشیار، گروه اقتصاد، دانشکده مدیریت و حسابداری، دانشگاه تبریز، تبریز، ایران.

3 استاد، گروه اقتصاد، دانشکده مدیریت و حسابداری، دانشگاه تبریز، تبریز، ایران.

چکیده

هدف: ریسک غیرسیستماتیک، از طریق تنوع‌بخشی سبد دارایی‌ها کاهش می‌یابد؛ از این رو، توجه پژوهشگران و سرمایه‌گذاران، بیش از پیش به ریسک سیستماتیک و عوامل تعیین‌کنندۀ آن معطوف شده است. بحران مالی جهانی ۲۰۰۷ با ایجاد آشفتگی گستردۀ اقتصادی و واکنش‌های زنجیره‌ای در بخش مالی، اهمیت ریسک سیستماتیک را به‌عنوان عاملی کلیدی در پایداری مالی برجسته ساخت. در نتیجه، بررسی عوامل مؤثر بر ریسک سیستماتیک و درک دقیق آن‌ها، پیش‌نیازی برای مدیریت مؤثر ریسک به شمار می‌رود. بتا، به‌عنوان معیار ریسک سیستماتیک، در شرکت‌های غیربورسی، به‌طور مستقیم، از طریق نوسان‌های قیمت سهام سنجیده نمی‌شود و این امر برآورد هزینۀ سرمایه و ریسک نسبی را با چالش مواجه می‌کند. بنابراین، تدوین مدلی برای پیش‌بینی ریسک سیستماتیک بر پایۀ متغیرهای کلان اقتصادی، از اولویت‌های پژوهشی است. با توجه به کثرت متغیرهای بالقوه، هدف اصلی این پژوهش، شناسایی مهم‌ترین متغیرهای کلان اقتصادی مؤثر بر ریسک سیستماتیک سهام در بورس اوراق بهادار ایران است.
روش: با وجود پژوهش‌های گسترده در زمینۀ عوامل ریسک سیستماتیک سهام شرکت‌ها، مدل‌سازی نظری عوامل کلان اقتصادی این متغیر، کمتر در کانون توجه قرار گرفته است و مطالعات موجود، اغلب بر انتخاب دلخواه متغیرهای مستقل، بدون پایۀ نظری جامع استوار است. اختلاف‌نظرهای موجود در خصوص متغیرهای مؤثر، به نتایج ناهمگون در پژوهش‌های پیشین انجامیده است. پژوهش حاضر، با بهره‌گیری از رویکرد میانگین‌گیری مدل بیزی (BMA)، اثرهای متغیرهای کلان اقتصادی بر ریسک سیستماتیک شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران را در بازۀ زمانی ۱۳۹۴ تا ۱۴۰۳ (۷۲ دوره) بررسی می‌کند. با توجه به یکسان بودن مقادیر متغیرهای کلان برای همۀ شرکت‌ها در هر سال، تحلیل مقطعی کافی نیست؛ به همین دلیل، از ریسک سیستماتیک سبدی متشکل از ۵۰ شرکت فعال برتر بازار استفاده شده است. متغیر وابسته، بتای این سبد است و ۱۴ متغیر کلان اقتصادی به‌عنوان متغیر توضیحی بالقوه در نظر گرفته شده است.
یافته‏ها: از میان متغیرهای بررسی‌شده، هشت متغیر بیشترین تأثیر را دارند. شاخص قیمت اجارۀ مسکن و شاخص قیمت مصرف‌کننده، به‌ترتیب رتبه‌های اول و دوم قرار گرفتند. ضریب میانگین اولی مثبت و دومی منفی است. نرخ بیکاری (با ضریب مثبت) و حجم دارایی‌های خارجی نظام بانکی (با ضریب منفی) در رتبه‌های سوم و چهارم قرار گرفتند. نقدینگی با ضریب مثبت در رتبۀ پنجم است. مخارج دولت (اثر منفی) و قیمت سکۀ طلا (اثر مثبت) نیز با احتمال پسین گنجاندن (PIP)، بیش از ۰/۵، به‌عنوان متغیرهای ششم و هفتم شناسایی شدند.
نتیجه‌گیری: یافته‌ها نشان می‌دهد که پیش‌بینی ریسک سیستماتیک سهام و سبدهای سرمایه‌گذاری با استفاده از متغیرهایی چون قیمت اجارۀ مسکن، شاخص قیمت مصرف‌کننده، نرخ بیکاری، دارایی‌های خارجی بانکی، نقدینگی، مخارج دولت و قیمت طلا امکان‌پذیر است. این قابلیت، سرمایه‌گذاران را در مدیریت ریسک سبد یاری می‌رساند و به سیاست‌گذاران اقتصادی و مدیران شرکت‌ها کمک می‌کند تا اقدامات پیشگیرانه و مدیریتی مناسبی برای مقابله با ریسک‌های بازار بورس اتخاذ کنند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

The Impact of Macroeconomic Variables on the Systematic Risk of the Top 50 Companies on the Tehran Stock Exchange: A Bayesian Model Averaging Approach

نویسندگان [English]

  • Leila Farvizi 1
  • Sakineh Sojoodi 2
  • Hossein Asgharpour 3
  • Jafar Haghighat 3
1 Ph.D Candidate, Department of Financial Economics, Aras International Campus, University of Tabriz, Tabriz, Iran.
2 Associate Prof., Department of Economics, Faculty of Management and Accounting, University of Tabriz, Tabriz, Iran.
3 Prof., Department of Economics, Faculty of Management and Accounting, University of Tabriz, Tabriz, Iran.
چکیده [English]

Objective
Since unsystematic risk can be mitigated through diversification of the asset portfolio, the focus of researchers and investors has increasingly shifted towards systematic risk and its determinants. The global financial crisis of 2007 brought significant economic turmoil and triggered a substantial chain reaction within the financial sector, which further amplified the emphasis on systematic risk as a critical factor related to financial stability. Consequently, due to the growing significance of systematic risk and the necessity for companies to respond appropriately, it becomes imperative to investigate the factors that influence systematic risk. In fact, an understanding of the factors impacting the level of systematic risk is a prerequisite for the implementation of effective risk management measures. Moreover, beta, as a measure of systematic risk, cannot be directly assessed through stock price movements for unlisted firms, presenting challenges in estimating the cost of capital and the relative risk profiles of these entities. Therefore, the development of a model capable of predicting systematic risk using macroeconomic variables is a research priority. The multitude of variables that potentially affect systematic risk necessitates experimental research to identify the most salient among them. Therefore, the main goal of this research is to investigate and identify the most important macroeconomic variables that determine the systematic risk of shares in the Iranian Stock Exchange.
 
Methods
Despite the extensive body of research examining the determinants of systematic risk in corporate stock, there exists a paucity of theoretical modeling addressing the macroeconomic determinants of this variable. Furthermore, existing studies often rely on an arbitrary selection of independent variables without comprehensive theoretical foundations. There is considerable debate regarding the variables influencing systematic risk and their inclusion in the model. These differing viewpoints have resulted in disparate outcomes across various studies. Given the importance of systematic risk and the lack of comprehensiveness in prior research, the present study employs the Bayesian Model Averaging (BMA) approach to analyze the effects of macroeconomic variables on the systematic risk of companies listed on the Tehran Stock Exchange during the period from 2015 to 2015, encompassing a total of 72 periods. Recognizing that the values of macroeconomic variables are consistent for all companies within a given year, cross-sectional analysis is deemed inadequate. Thus, this research utilizes the systematic risk of a sample portfolio of stocks over time, specifically selecting a common portfolio comprising 50 actively listed companies in the Iranian stock market. Accordingly, the dependent variable in this study is the beta of the portfolio comprising the 50 most active stocks, with 14 macroeconomic variables identified as potential explanatory variables.
 
Results
The findings indicate that among the variables examined, a total of eight variables exert the most significant influence on systematic risk. Notably, the housing rental price index and the consumer price index rank first and second, respectively, in their impact. The average coefficient for the housing rent variable is positive, while the average coefficient for the consumer price index is negative. Following these, the unemployment rate and the amount of foreign assets held by the banking system rank third and fourth, respectively; the average coefficient for the unemployment rate is positive, whereas foreign assets exhibit a negative average coefficient. Liquidity is positioned fifth with a positive coefficient. Lastly, government expenditures and the price of gold coins serve as the sixth and seventh explanatory variables, respectively, with PIP values exceeding 0.5, demonstrating negative and positive average effects on the systematic risk of the stock portfolio comprising the top 50 companies.
 
Conclusion
According to the findings of this study, it is possible to predict the systematic risk of stocks and stock portfolios using macroeconomic variables such as housing rental prices, consumer price index, unemployment rate, volume of foreign assets of the banking system, volume of liquidity, government spending, and gold price. This prediction helps investors to manage the risk of their portfolio and provides economic policymakers and company managers with the possibility to consider the necessary measures to deal with and manage the risk in the stock market.
 

کلیدواژه‌ها [English]

  • Systematic risk
  • Macroeconomic variables
  • Bayesian model averaging method

مراجع

رضایی، غلامرضا؛ شهرستانی، حمید؛ هژبر کیانی، کامبیز و مهرآرا، محسن (1398). تأثیر سیاست پولی بر بازدهی و بی‌ثباتی بازار سهام (مقایسه‌ای بین ابزارهای سیاست پولی در ایران). تحقیقات مدل‌سازی اقتصادی، 9(36 )، 75-125.
شاه‌آبادی، ابوالفضل؛ نظیری، محمدکاظم و حواج، سحر (1392). اثر متغیرهای کلان اقتصادی بر ریسک سیستماتیک بورس اوراق بهادار تهران. پژوهش‌‏ها و سیاست‌‏های اقتصادی، 21(67)، 89-104.
 
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تحقیقات مالی
دوره 28، شماره 1
1405
صفحه 128-160

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