بررسی رفتار نامنظم قیمت سهام، انتظار سرمایه گذاران و بازده سهام با استفاده از روش لیاپونوف و کلموگروف و BDS در بورس اوراق بهادار تهران با تاکید بر کاپیولا گارچ و کاپیولا تی-گارچ

مهندسی مالی و مدیریت اوراق بهادار

مقاله 21، دوره 11، شماره 43، تیر 1399، صفحه 516-537   

نوع مقاله: مقاله پژوهشی

نویسندگان

محمدرضا نوائیان¹؛ محمدرضا وطن پرست^{* 2}؛ هادی سعیدی³؛ شعبان محمدی⁴

¹گروه مهندسی مالی، واحد رشت، دانشگاه آزاد اسلامی، رشت، ایران

²گروه حسابداری، واحد رشت، دانشگاه آزاد اسلامی، رشت، ایران.

³گروه حسابداری، واحد شیروان، دانشگاه آزاد اسلامی، شیروان، ایران

⁴گروه حسابداری، دانشکده شهید رجایی، دانشگاه فنی و حرفه ای استان خراسان، ایران

چکیده

هدف این پژوهش بررسی رفتار نامنظم در قیمت سهام، انتظارات سرمایه­گذاران و بازده سهام با استفاده از شاخص لیاپونوف و شاخص کلموگروف است. همچنین رفتار وابسته قیمت سهام، انتظارات سرمایه­گذاران و بازده سهام را دربازه زمانی1390 تا 1396 در بورس اوراق بهادار تهران تجزیه و تحلیل شد. از روش BDS برای وجود و اندازه گیری رفتار نامنظم استفاده شد. کاپیولا گارچ و کاپیولا تی-گارچ برای مطالعه حرکت مشترک در میان متغیرهای انتخاب شده مورد استفاده قرار گرفتند. نتایج نشان داد بر اساس شاخص لیاپونوف و شاخص کلموگروف قیمت سهام و بازده سهام دارای رفتار نامنظم هستند. در مورد دنباله غیرخطی وابسته بین نوسان قیمت سهام، انتظارات سرمایه­گذاران و بازده سهام شواهد معناداری وجود دارد. علاوه بر این، دنباله وابستگی بالا و پایین و تحرک بین سری­های تحلیل شده، تایید شد. همچنین، نوسانات قیمت سهام تاثیر زیادی بر بازده سهام و انتظارات سرمایه­گذاران در بلندمدت به روش­های کاپیولا گارچ و کاپیولا تی-گارچ دارند.

کلیدواژه‌ها

قیمت سهام؛ انتظار سرمایه گذاران؛ بازده سهام؛ کاپیولا گارچ

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