آیا نوسانات بازدهی سرمایه‌گذاری در سهام متفاوت از نوسانات بازدهی سهام است؟

نوع مقاله : مقاله پژوهشی

نویسندگان

1 مدیریت مالی، دانشکده مدیریت،دانشگاه تهران،تهران، ایران

2 دانش آموخته مطالعات دفاعی راهبردی، دانشگاه عالی دفاع ملی، تهران، ایران.

3 استادیار،دانشکده مدیریت و اقتصاد،دانشگاه تربیت مدرس،تهران،ایران

4 استادیار، دانشکده علوم اجتماعی، پژوهشکده سرمایه انسانی، تهران، ایران.

5 دانشجوی دکتری حسابداری، دانشکده علوم انسانی، دانشگاه آزاد اسلامی، بابل،ایران.

چکیده

بازده واقعی سرمایه‌گذاران در سهام نه تنها با بازده سهام ، بلکه با زمان و میزان جریان ورود و خروج سرمایه از آن‌ تعیین می‌شود. از این رو در پژهش حاضر بین دو مفهوم بازدهی سرمایه‌گذاران از سهام و بازدهی سهام تفاوت قائل شده‌ایم و برخلاف پژوهش‌های پیشین از بازدهی موزون به پول(بازدهی پول وزنی) به جای درصد تغییرات قیمت به عنوان معیاری برای اندازه‌گیری بازدهی سرمایه‌گذاری استفاده شده است. به منظور مقایسه‌ی نوسانات بازده سرمایه‌گذاران و بازدهی سهام، رفتار نوسانی آن-ها را بر روی شاخص کل بورس بررسی کرده‌ایم. در ادامه قابلیت امن و پوششی و اثر سر سرریز ریسک دلار را بر روی بازدهی سرمایه‌گذاران بررسی نموده و نتایج آن‌ را با بازدهی شاخص مقایسه کرده‌ایم. نتایج حاکی از آن است که میان نوسانات بازده سرمایه‌گذاران از سهام و بازده سهام تفاوت معناداری وجود دارد و نوسانات بازده سرمایه‌گذاران کمتر از نوسانات بازده سهام است. علت این مسئله این است که سرمایه‌گذاران بیشتر تمایل به نوسانگیری از جریان بازار دارند و در دوره‌های با نوسان بالا جهت کسب سود کوتاه‌مدت به بازار ورود کرده و در دوره‌های با نوسان کم از بازار خارج می‌شوند. بررسی مدل‌های نوسان شرطی نشان می‌دهد که بازدهی سهام دارای اثرات اهرمی قوی‌تر و ثبات و ماندگاری بیشتری در شوک‌های خود می‌باشد. در پایان یافته‌های تحقیق موید آن است که سکه طلا برای سرمایه‌گذاران دارای قابلیت امن و پوششی است و شواهدی مبنی بر وجود اثر سرریز ریسک از نرخ دلار بر روی بازده‌ی سرمایه‌گذاران وجود ندارد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Are the volatilities of investment returns in stocks different from the volatilities of stock returns?

نویسندگان [English]

  • Mohammad Ali Mozaffari 1
  • Mohsen Gol Sorekh Haq 2
  • Mehdi Zolfaghari 3
  • Asghar Asgharzadeh 4
  • mohammad gholipour khatir 5
1 Financial Management, Faculty of Management, University of Tehran, Tehran, Iran
2 Ph.D. Management .Supreme National Defense University. Tehran.Iran.
3 Assistant Professor, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran
4 Assistant Professor, Faculty of Social Sciences, Human Capital Research Institute, Tehran, Iran.
5 Accounting PHD Student, Faculty of Humanities, Islamic Azad University, Babol, Iran.
چکیده [English]

The real return of investors in stocks is determined not only by the return of stocks, but also by the time and capital inflow and outflow from it. Therefore, in this study, we have differentiated between the two concepts of investors' returns from stocks and stock returns, and unlike previous researches, we have used money-weighted returns instead of the percentage of price changes as a measure of Investment return. In order to compare the volatilities of investors' returns and stock returns, we have examined their volatility behavior on the TSE Index. Then, we have examined the safe heaven and hedge capability and the risk spillover effect of the dollar on the returns of investors and compared the results with the returns of the index. The results indicate that there is a significant difference between the volatility of investors' returns from stocks and stock returns, and the volatility of investors' returns is lower than the volatility of stock returns. Because investors tend to fluctuate with the market flow and enter the market in periods of high volatility to earn short-term profits and exit the market in periods of low volatility. Examining conditional volatility models shows that stock returns have stronger leverage effects and more stability and durability in their shocks. At the end of the research findings, it is confirmed that the gold coin has a safe heaven and hedge capability for investors, and there is no evidence that there is a risk spillover effect from the dollar_rate on investors' returns.

کلیدواژه‌ها [English]

  • Volatility
  • Money-Weighted Return
  • Buy-Hold Return
  • Safe Heaven and Hedge Capability
  • Risk Spillover
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