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Market Sentiment and Stock Market Volatility: Evidence from Tehran Stock Exchange | ||
Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies) | ||
دوره 15، شماره 4، دی 2022، صفحه 701-720 اصل مقاله (873.49 K) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22059/ijms.2021.312151.674267 | ||
نویسنده | ||
Mohammad Tohidi* | ||
Associate Professor, Department of Finance, Faculty of Islamic Studies and Management, Imam Sadiq University, Tehran, Iran | ||
چکیده | ||
This study aimed to evaluate the significance and severity of the relationship between market sentiment and the volatility of the Tehran Stock Exchange Price Index (TEPIX). We drew on the principal component analysis (PCA) to provide a composite sentiment index using a set of proxies. In addition, ARIMA-E-GARCH hybrid models were applied to model the volatility of the TEPIX and other control variables. Subsequently, GLS regression was used to measure the impact of market sentiment and the control variables variation on the volatility of the TEPIX. The findings showed that the influences of optimistic and pessimistic sentiment on the volatility of TEPIX were both statistically significant and respectively, negative and positive. However, the severity of these negative and positive effects was slight. Furthermore, we found that the stock exchange volatility was highly affected by the volatility of the inflation and the liquidity much more than the other variables such as optimistic and pessimistic sentiment. | ||
کلیدواژهها | ||
market sentiment؛ noise trading؛ stock volatility؛ behavioral finance؛ Tehran Stock Exchange Price Index | ||
عنوان مقاله [English] | ||
گرایش احساسی بازار و نوسان بازار سهام: شواهدی از بورس اوراق بهادار تهران | ||
نویسندگان [English] | ||
محمد توحیدی | ||
دانشیار گروه مالی، دانشکده معارف اسلامی و مدیریت، دانشگاه امام صادق (ع)، تهران، ایران | ||
چکیده [English] | ||
این پژوهش معناداری و شدت رابطه میان گرایش احساسی سرمایهگذاران و نوسان شاخص قیمت بورس اوراق بهادار تهران (TEPIX) را میسنجد. برای انجام این مهم، ابتدا یک شاخص ترکیبی گرایش احساسی و متشکل از یکسری متغیرهای احساسی با استفاده از روش تحلیل مؤلفههای اساسی (PCA) استخراج میشود. سپس از طریق مدلهای ترکیبی ARIMA-E-GARCH، تلاطم شاخص قیمت بورس اوراق بهادار تهران و سایر متغیرهای کنترل مدلسازی میشود. در نهایت برای سنجش اثر گرایش احساسی سرمایهگذاران و نوسان سایر متغیرهای کنترل بر نوسان شاخص قیمت بورس اوراق بهادار تهران از رگرسیون GLS استفاده میشود. نتایج گویای آن است که اثر احساسات خوشبینانه و بدبینانه بر روی نوسان شاخص قیمت بورس اوراق بهادار تهران هر دو معنادار و به ترتیب منفی و مثبت، اما شدت تأثیر اندک است. افزون بر آن، یافتهها نشان میدهد نوسان شاخص سهام بیشتر متأثر از نوسان متغیرهایی چون تورم و نقدینگی است. | ||
کلیدواژهها [English] | ||
گرایش احساسی بازار, معامله اختلالزا, نوسان قیمت سهام, مالی رفتاری, شاخص قیمت بورس اوراق بهادار تهران (TEPIX) | ||
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