جهانی‎شدن مالی و بازده سهام: تئوری و شواهدی از داده‏های سری زمانی

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 استادیار گروه اقتصاد، دانشگاه کردستان، سنندج، ایران

2 دانشجوی دکتری مدیریت مالی، دانشگاه آزاد اسلامی واحد تهران شمال، تهران، ایران

چکیده

در دهه‏های اخیر اقتصاد جهانی شاهد تحولات گسترده‏ای بود که عمدتاً به‎واسطۀ پیدایش عوامل تشکیل‎دهندۀ جهانی‎شدن به وقوع پیوسته است. هدف مطالعۀ حاضر بررسی اثر جهانی‎شدن مالی بر بازده سهام است. برای این مطالعه، از درجۀ سرمایه‏گذاری مستقیم خارجی و سرمایه‏گذاری در اوراق بهادار به‎عنوان شاخص جهانی‎شدن مالی استفاده می‎شود. همچنین از میان سایر متغیرهای کلان مؤثر بر بازده سهام، تولید ناخالص داخلی، نقدینگی، نرخ تورم، نرخ ارز بازار آزاد و درآمدهای نفتی کشور در نظر گرفته شده است. اطلاعات پژوهش از داده‎های فصلی اقتصاد ایران طی دورۀ زمانی 1394- 1377 به‎دست آمده و با به‎کارگیری روش آزمون کرانه­ها و خودرگرسیونی با وقفه­های توزیعی (ARDL) تجزیه و تحلیل شده است. نتایج مطالعه حاکی از آن است که جهانی‎شدن مالی بر بازده سهام در بلندمدت و کوتاه‎مدت تأثیر مثبت و معنادار می‎گذارد؛ به بیان دیگر، با گسترش جهانی‎شدن مالی، بازده سهام در ایران افزایش می‏یابد و برعکس.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Financial Globalization and Stock Return: Theory and Evidence from Time Series Data

نویسندگان [English]

  • Saman Ghaderi 1
  • Mojtaba Rostami noroozabad 2
1 Assistant Prof. in Economic, University of Kurdistan, Sanandaj, Iran
2 Ph.D. Student of Financial Management, Islamic Azad University, North Tehran Branch, Tehran, Iran
چکیده [English]

In recent decades the world economy has witnessed vast changes that mainly occurred because of the emergence of factors that make up globalization. The purpose of this study is to evaluate the impact of financial globalization on stock return. In this respect, total foreign direct investment and investments in portfolios are employed as indicator of financial globalization. Also, among the other macroeconomic variables affecting the stock return, GDP, liquidity, inflation, market exchange rate and oil revenues are considered. This study applies the Bounds test and Autoregressive Distributed Lag (ARDL) models for Iranian economic during 1997-2015. The results provide a positive relationship between financial globalization and stock return. In other words, expansion of financial globalization lead to increase in stock return in Iran.

کلیدواژه‌ها [English]

  • Financial Globalization
  • Stock Return
  • Bounds test
  • ARDL
  • Iran
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