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نااطمینانی سیاست اقتصادی و بازده بازار سهام در ایران؛ شواهدی جدید بر پایه تبدیل موجک و تحلیل در حوزه زمان - فرکانس | ||
سیاست ها و تحقیقات اقتصادی | ||
مقاله 1، دوره 3، شماره 4 - شماره پیاپی 12، بهمن 1403، صفحه 1-30 اصل مقاله (1.19 M) | ||
نوع مقاله: مقاله پژوهشی | ||
شناسه دیجیتال (DOI): 10.22034/jepr.2024.142461.1201 | ||
نویسندگان | ||
صالح طاهری بازخانه* 1؛ مهرداد صدرآرا2 | ||
1استادیار، گروه اقتصاد و حسابداری، دانشکده مدیریت و اقتصاد، دانشگاه گیلان، رشت، ایران. | ||
2استادیار، گروه اقتصاد و حسابداری، دانشکده مدیریت و اقتصاد، دانشگاه گیلان، رشت، ایران | ||
چکیده | ||
سیاستگذاران زمانی که نمیتوانند برای حل مسألهای به اجماع دست یابند و یا سیاستهای اقتصادی را به طور مکرر تغییر میدهند، معمولاً نااطمینانی اقتصادی قابل توجهی خلق میکنند. این فرآیند که به نااطمینانی سیاست اقتصادی شهرت یافته است، میتواند بخشهای مختلف از جمله بازار سهام و بازده آن را تحت تأثیر قرار دهد. از سوی دیگر، با توجه به اینکه سیاستگذار نتایج اقدامات خود را در بازار سهام جستجو میکند و امکان دارد تحت تأثیر فشارهای سیاسی و گروههای ذینفع قرار گیرد، بازده سهام نیز میتواند منجر به نااطمینانی سیاست اقتصادی شود. از این رو، بررسی رابطه میان نااطمینانی سیاست اقتصادی و بازده بازار سهام میتواند دلالتهای سیاستی مهمی را آشکار سازد. بر این اساس، پژوهش حاضر از تبدیل موجک پیوسته و دادههای دوره زمانی 1402 – 1369 استفاده کرد تا رابطه میان نااطمینانی سیاست اقتصادی و بازده بازار سهام در ایران را در حوزه زمان – فرکانس تحلیل نماید. نتایج نشان داد در افق کوتاهمدت، میانمدت و بلندمدت، بازدهی در بازار سهام سابقه تحریک نااطمینانی سیاست اقتصادی را دارد. با این توضیح که اثرگذاری آن بعد از دهه 1390 قطع شده است. از دهه 1390 به بعد،افزایش (کاهش) اثرگذاری نااطمینانی سیاست اقتصادی باعث کاهش (افزایش) بازده سهام شده است. | ||
کلیدواژهها | ||
نااطمینانی سیاستی؛ بازار سهام؛ تبدیل موجک؛ اقتصاد ایران | ||
مراجع | ||
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آمار تعداد مشاهده مقاله: 120 تعداد دریافت فایل اصل مقاله: 20 |