بررسی واکنش سرمایه‌گذاران نسبت به رویدادهای ناگهانی در بورس اوراق بهادار تهران

نوع مقاله : مقاله علمی پژوهشی

نویسندگان

1 دانشیار مدیریت بازرگانی، دانشگاه یزد، ایران

2 دانشجوی کارشناسی ارشد، مدیریت بازرگانی ـ گرایش مالی، دانشگاه یزد، ایران

چکیده

 یکی از عوامل مهم در تصمیم‎های سرمایه‎گذاران، رویدادهای ناگهانی اقتصادی و سیاسی است که در زمان خریدوفروش سهام بر تصمیم‎گیری تأثیر می‎گذارد و قیمت سهام را در جهت مطلوب یا نامطلوب تغییر می‎دهد. هدف پژوهش حاضر، بررسی واکنش سرمایه­گذاران نسبت به رویدادهای ناگهانی در بورس اوراق بهادار تهران است. برای دستیابی به این هدف، به‎مثابۀ نمونه­ای از رفتار سرمایه­گذاران، بازده روزانه از سال­های 1386- 1391 بر اساس فرضیۀ اطلاعات مبهم بررسی شده است. یافته­ها نشان می‎دهد با وقوع رویدادهای ناگهانی، نوسان‎های بازده افزایش می­یابد. همچنین بر اساس نتایج پژوهش، دربارۀ اخبار مطلوب واکنش سرمایه‎گذاران منطبق بر پیش­بینی فرضیۀ اطلاعات مبهم است؛ به این معنا که بازده‌های غیرعادی سهام طی دورۀ بعد از ورود اطلاعات، مطلوب مثبت است، ولی دربارۀ اخبار نامطلوب این فرضیه صدق نمی­کند. به بیانی، رفتار بعد از اخبار خوب پیرو فرضیۀ اطلاعات مبهم است، اما بعد از اخبار بد از این فرضیه پیروی نمی‎کند. همچنین برای هردو حالت رویداد مطلوب و نامطلوب، تعدیل قیمت سهام رو به پایین بوده است.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

A review of investors’ reaction to unexpected events in Tehran Stock Exchange

نویسندگان [English]

  • Saeid Saeida Ardakani 1
  • Aynaz Bahlakeh 2
  • Negar Mirzad 2
  • Tahereh sadat Tavassoly 2
1 Associate Prof., Business Management, Tehran, Iran
2 MSc., Business Management, Yazd, Iran
چکیده [English]

Unexpected economic and political events are considered important elements impacting investment decisions of the investors during stock transactions and changing the stock price in desirable or undesirable ways. The current study aims to provide a review on investors’ reaction to unexpected events in Tehran Stock Exchange market. For this purpose, the daily returns of the period spanning 1386-1391 have been reviewed as a sample of  investors’ behavior based on the uncertain information hypothesis. The findings indicate that occurrence of unexpected events will increase returns oscillation. Also, the results show that, regarding the desirable news, the reaction of investors corresponds to prediction of uncertain information hypothesis, that is, the unusual revenue of stocks after desirable information is positive, but it would not verify the hypothesis of the prediction of undesirable news. In other words, behavior, after the desirable news, will follow the uncertain information hypothesis; however, after the bad news, it would not follow this hypothesis. Also, for both, desirable and undesirable events, moderating and adjusting the stock price have gone downward.

کلیدواژه‌ها [English]

  • reaction of investors
  • Stock exchange
  • uncertain information hypothesis
  • unexpected events

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تحقیقات مالی
دوره 17، شماره 1 - شماره پیاپی 1
بهار و تابستان
فروردین 1394
صفحه 103-122

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