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جهانیشدن مالی و بازده سهام: تئوری و شواهدی از دادههای سری زمانی | ||
تحقیقات مالی | ||
مقاله 33، دوره 18، شماره 4، اسفند 1395، صفحه 715-734 اصل مقاله (376.52 K) | ||
نوع مقاله: مقاله علمی پژوهشی | ||
شناسه دیجیتال (DOI): 10.22059/jfr.2017.62588 | ||
نویسندگان | ||
سامان قادری1؛ مجتبی رستمی نوروزآباد* 2 | ||
1استادیار گروه اقتصاد، دانشگاه کردستان، سنندج، ایران | ||
2دانشجوی 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 | ||
: آزمون کرانهها؛ ایران؛ بازده سهام؛ جهانیشدن مالی؛ ARDL | ||
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