دانش سرمایه‌گذاری

دانش سرمایه‌گذاری

بررسی اعتبار تجربی فرضیه بازار انطباقی با استفاده مدل های تعویض رژیم در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان
غلام حسین اسدی 1
اسماعیل فدایی نژاد 2
حمید فاروقی 3
1 دانشیار، گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران
2 دانشیار، گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.
3 دانشجوی دکتری مدیریت مالی، دانشکده مدیریت و حسابداری، دانشگاه شهید بهشتی، تهران، ایران.
10.30495/jik.0621.23457
چکیده
هدف این مقاله بررسی اعتبار تجربی فرضیه بازار انطباقی (AMH) است که به منظور رفع جدال بین طرفداران فرضیه بازار کارا و مالی رفتاری طرح گردیده است. این فرضیه بر این اصل استوار است که عدم کارایی در بازارهای مالی نشات گرفته از رفتار غیر عقلائی سرمایه گذاران است، اما زمانی که سرمایه گذاران با محیط در حال تغییر خود را در غالب روند تکاملی وقف می دهند، این قابلیت انطباق پذیری آنها در غالب تعویض رژیم بازار را به وضعیت کارا بر می گرداند. برای بررسی اعتبار تجربی این فرضیه از مدل رگرسیون انتقال ملایم لاجیت (LSTAR) که از مدل های تعویض رژیم می باشد و اطلاعات آماری بازه زمانی 1388-1398 بر اساس فراوانی داده‌های فصلی برای بازدهی شاخص و نسبت قیمت به درآمد (P/E) و نسبت ارزش بازار به ارزش دفتری (M/B) استفاده شده است. نتایج بدست آمده از این مطالعه نشان می دهد که بازدهی شاخص بورس اوراق بهادار تهران مطابق با فرضیه انطباقی تحت رژیم های کارا و غیر کارا تغییر رفتار می دهد.
کلیدواژه‌ها
فرضیه بازار انطباقی (AMH)
مدل های تعویض رژیم
مدل رگرسیون انتقال ملایم (STAR)
نسبت قیمت به درآمد (P/E)
نسبت ارزش بازار به دفتری (M/B

عنوان مقاله English

Investigating the Empirical Validity of the Adaptive Market Hypothesis Using the Regime switching Approach in the Tehran Stock Exchange

نویسندگان English

Asadi Gholamhossein 1
Esmaeil Fadaeenezhad 2
Hamid Faroughi 3
1 Associate Prof, Department of Management and accounting, University of Shahid Beheshti, Tehran, Iran
2 Associate Prof, Department of Management and accounting, University of Shahid Beheshti, Tehran, Iran
3 Ph.D. Student in Finance Management, Faculty of Management and accounting, University of Shahid Beheshti, Tehran, Iran
چکیده English

The purpose of this paper is to examine the empirical validity of the Adaptive Market Hypothesis (AMH), which is suggested to resolve the controversy between proponents of the efficient market hypothesis and financial behavior school. This hypothesis is based on the principle that although inefficiencies in the financial markets stems from the irrational behavior of investors, when investors adapt themselves to the changing environment as part of an evolutionary process, this adaptability in the shape of switching regime returns the market to an efficient state. To test the empirical validity of this hypothesis, the logistic smooth transition autoregressive model (LSTAR), which is one of the regimes switching models, and statistical information for the period 1388-1398 based on the frequency of quarterly data for variables namely, index return, price-to-income and market-to-book ratio have been used. The results obtained from this study show that the return of the Tehran Stock Exchange index changes behavior in accordance with the adaptive hypothesis under efficient and inefficient regimes.

کلیدواژه‌ها English

Adaptive market hypothesis
Regime switching models
smooth transition autoregressive models
Price-to-Income and Market-to-Book ratio
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