اثر نرخ سود بین‌بانکی بر شاخص قیمت سهام (با تأکید بر توافقنامه برجام)

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشجوی کارشناسی ارشد علوم اقتصادی دانشکده اقتصاد مدیریت و علوم اداری دانشگاه سمنان

2 عضو هیأت علمی دانشکده علوم اقتصادی، مدیریت و علوم اداری، دانشگاه سمنان

چکیده

تحولات بازار سهام، بخش حقیقی اقتصاد را تحت تأثیر قرار می‌دهد. بانک‌ها یکی از منابع تقاضا در بازار سهام هستند که مقدار سرمایه‌گذاری آن‌ها در بازار سهام تابع عوامل مختلفی است. در این مقاله اثر تغییرات نرخ سود بین‌ بانکی بر شاخص قیمت سهام در اقتصاد ایران در چارچوب مدل‌های ناهمسانی واریانس شرطی (ARCH و GARCH) با استفاده از داده‌های ماهانه در دوره فروردین 1392 تا اسفند 1395 مورد بررسی و تحلیل تجربی قرار گرفته است. نتایج حاصل از تخمین مدل‌های تصریح شده نشان می‌دهد اولاً: نرخ سود واقعی بین‌بانکی دارای اثر منفی و معنی‌دار بر شاخص سهام است. به گونه‌ای که تغییرات مثبت نرخ سود واقعی بین‌بانکی، بانک‌ها را ترغیب می‌کند تا منابع اضافی خود را به جای بازار سهام در بازار بین ‌بانکی سرمایه‌گذاری کنند که این مسئله تقاضای سهام توسط بانک‌ها را کاهش می‌دهد و بر شاخص سهام اثر منفی دارد. رابطه معکوس بین تغییرات نرخ بهره بین بانکی و شاخص قیمت سهام نقش و اهمیت بازار بین بانکی به عنوان یکی از ابزارهای پولی بانک مرکزی برای تأثیرگذاری بر بخش حقیقی اقتصاد را نمایان می‌سازد. ثانیاً: تغییرات نرخ ارز غیر رسمی دارای اثر منفی و معنی‌دار بر شاخص سهام است به‌نحوی‌که افزایش نرخ ارز غیر رسمی، از طریق تحریک تقاضای بازار ارز دارای اثر انقباضی بر بازار سهام است و بازدهی سهام را کاهش خواهد داد. ثالثاً: توافق‌نامه برجام به عنوان یک خبر خوب برای بازار تلقی شده است و اثر مثبت و معنی‌دار بر شاخص سهام در دوره تحت بررسی داشته است.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

The Effect of Interbank Interest Rate on Stock Price (With emphasis on Joint Comprehensive Plan of Action)

نویسندگان [English]

  • Reza Rashidi 1
  • majid maddah 2
1 Master Student in Economic, Faculty of Economics, Management and Administrative Sciences, Semnan University
2 Faculty Member of Faculty of Economics, Management and Administrative Sciences, Semnan University
چکیده [English]

Stock market developments affect the economic real sector. Banks are one of the sources of demand in the stock market. The banks investment in stock market depends to various factors. In this paper, the effect of interbank interest rate on stock index in the framework of Autoregressive Conditional Heteroscedasticity models (ARCH and GARCH) using monthly data in Iran's economy in the period from March 2013 to March 2016 has been studied. The results of the estimation of the specified models indicate that firstly, the real interest rate of interbank has a negative and significant effect on the stock index; so that the positive changes in the real interbank interest rate encourage banks to invest their additional resources in the stock market which reduces shares demand by banks and has the negative effect on stock price index. The inverse relationship between changing interbank rate and stock index confirms the importance role interbank market in monetary policy by central bank. Secondly, informal exchange rate changes have a negative and significant effect on the stock index, while the increase in the informal exchange rate, by the encouragement of exchange demand, has a contraction effect on the stock market and decreases the stock index. Thirdly, The Joint Comprehensive Plan of Action as a good news for the market has been considered and has had a positive and significant impact on the stock price index during the period under review. This finding confirms the effect of political factors on stock market changes.

کلیدواژه‌ها [English]

  • Interbank Interest Rate
  • Stock Price
  • Autoregressive Conditional Heteroscedasticity Models
  • Joint Comprehensive Plan of Action
  • Iranian economy
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