واکنش کوتاه‌مدت و بلندمدت بازده سهام صنایع صادراتی و وارداتی به سیاست پولی در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دکتری مالی، مهندسی مالی، گروه مدیریت مالی و حسابداری، دانشکده مدیریت و حسابداری، دانشکدگان فارابی، دانشگاه تهران، ایران

2 دانشیار گروه مدیریت مالی و حسابداری، دانشکده مدیریت و حسابداری، دانشکدگان فارابی، دانشگاه تهران، ایران

3 دکتری مالی، گروه مدیریت مالی و حسابداری، دانشکده مدیریت و حسابداری، دانشکدگان فارابی، دانشگاه تهران، ایران

چکیده

نوسانات نرخ ارز و تغییرات سیاست پولی از طریق کانال‌هایی نظیر هزینه سرمایه، اعتبارات و نرخ ارز بر بازدهی بازار سهام اثرگذار هستند. درک تمایز این اثرات، به‌ویژه در شرایط تحریم‌های اقتصادی، برای سیاست‌گذاران و سرمایه‌گذاران اهمیتی دوچندان دارد. بر این اساس، پژوهش حاضر به بررسی اثر سیاست پولی بر بازدهی سهام ۹ صنعت صادراتی و ۸ صنعت وارداتی و همچنین مجموع این صنایع در بورس اوراق بهادار تهران طی دوره ماهانه فروردین ۱۳۸۹ تا اسفند ۱۴۰۲ می‌پردازد. بدین منظور سیاست پولی با استفاده از شاخص شرایط پولی حاصل از روش تحلیل مؤلفه‌های اصلی (PCA) اندازه‌گیری شد و متغیرهای حجم نقدینگی، قیمت نفت و نرخ بهره به‌عنوان متغیرهای کنترلی لحاظ شدند. برآورد روابط کوتاه‌مدت و بلندمدت از طریق روش میانگین گروهی تلفیقی (PMG) انجام پذیرفت. نتایج نشان داد در بلندمدت، سیاست پولی بر بازدهی صنایع صادراتی و بر مجموع صنایع اثر مثبت و معناداری دارد، در حالی‌که برای صنایع وارداتی اثری مشاهده نشد. در کوتاه‌مدت اثری مستقیم گزارش نشد، اما ضرایب تصحیح خطا نشان دادند که صنایع صادراتی، وارداتی و مجموع صنایع به‌ترتیب با سرعت ۸۴، ۷۴ و ۸۰ درصد به تعادل بلندمدت بازمی‌گردند. این یافته‌ها نقش غالب صنایع صادراتی در بازار سرمایه ایران را برجسته می‌سازد. بنابراین پیشنهاد می‌شود سرمایه‌گذاران در شرایط سیاست پولی انبساطی تمرکز بیشتری بر صنایع صادراتی داشته باشند و سیاست‌گذاران با مدیریت نرخ ارز و نرخ بهره، آثار بالقوه منفی بر صنایع وارداتی را کاهش داده و ثبات انتظارات فعالان اقتصادی را تقویت نمایند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Short-Term and Long-Term Response of Stock Returns of Export and Import Industries to Monetary Policy in Tehran Stock Exchange

نویسندگان [English]

  • Seyed Hassan Masoudi Alavi 1
  • Mohammad Nadiri 2
  • Mohammad Mahdi Fotouhi Rashidi 3
1 PhD in Finance-Engineering, Department of Financial Management and Accounting, Faculty of Management and Accounting, Farabi Colleges, University of Tehran, Iran
2 Associate Professor, Department of Financial Management and Accounting, Faculty of Management and Accounting, Farabi College, University of Tehran, Iran
3 PhD in Finance, Department of Financial Management and Accounting, Faculty of Management and Accounting, Farabi College, University of Tehran,, Iran
چکیده [English]

Exchange rate fluctuations and monetary policy changes affect stock market returns through channels such as the cost of capital, credit, and exchange rates. Understanding the distinction between these effects, especially during economic sanctions, is of great importance to policymakers and investors. Accordingly, the present study examines the effect of monetary policy on the stock returns of 9 export industries and eight import industries, as well as the total of these industries on the Tehran Stock Exchange, during the monthly period from April 2010 to March 2023. For this purpose, monetary policy was measured using the monetary conditions index derived from a principal component analysis (PCA), and liquidity volume, oil price, and interest rate were included as control variables. The estimation of short-run and long-run relationships was carried out using the pooled group mean (PMG) method. The results showed that in the long run, monetary policy has a positive and significant effect on the returns of export industries and on the total of industries. In contrast, no effect was observed for import industries. No direct effect was reported in the short run. However, the error-correction coefficients indicated that export, import, and total industries return to long-run equilibrium at rates of 84, 74, and 80 percent, respectively. These findings highlight the dominant role of export industries in the Iranian capital market. Therefore, it is suggested that investors should focus more on export industries under expansionary monetary policy conditions, and that policymakers should reduce the potential adverse effects on import industries and enhance the stability of economic actors’ expectations by managing the exchange rate and interest rates.

کلیدواژه‌ها [English]

  • Monetary policy
  • stock market returns
  • export industries
  • import industries

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نظریه های کاربردی اقتصاد
دوره 13، شماره 1 - شماره پیاپی 48
شماره بهار 1405
اسفند 1404
صفحه 177-200

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