بررسی اثر تقدم-تأخر در بازده پرتفوهای کوچک و بزرگ در بورس اوراق بهادار تهران

رضایی, شقایق; آقابابایی, محمدابراهیم

doi:10.22051/jfm.2018.17777.1522

بررسی اثر تقدم-تأخر در بازده پرتفوهای کوچک و بزرگ در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

¹ دانشگاه خوارزمی

² استادیار گروه مدیریت مالی و مهندسی مالی، دانشگاه خوارزمی، تهران، ایران

10.22051/jfm.2018.17777.1522

چکیده

در بازارهای نوظهور و ناکارآمد، تغییرات قیمتی مستقل و تصادفی نیستند و روند و الگوی خاصی در رفتار قیمت‏ها وجود دارد. یکی از الگو‏هایی که ضمن ناکارآمدی بازار می‏تواند موردبررسی قرار بگیرد، اثر تقدم-تاخر است. این اثر بدین معناست که بازده سهام شرکت‏های کوچک با تأخیر دنباله‌روی بازده سهام شرکت‏های بزرگ هستند. در صورت وجود این اثر، با دنباله‏روی از استراتژی خرید برندگان و فروش بازندگان می‏توان سودی بیشتر از حالت عادی به دست آورد. این پژوهش به بررسی وجود اثر تقدم-تا خر در بازار سرمایه ایران طی سال‏های 1390-1395 پرداخته است. نتایج روش خودهمبستگی متقاطع نشان‌دهنده وجود اثر تقدم-تا خر در کوتاه‌مدت است. تحلیل پروفایل‏های پایدار و تجزیه واریانس تعمیم‌یافته نشان دادند که بعد از سه هفته تمام شوک‏ها جذب می‏شوند، اما روند منظمی در جذب شوک بیشتر توسط سبد بزرگ‌تر وجود ندارد. نتایج رویکرد مبتنی بر هم جمعی نیز حاکی از وجود اثر تقدم-تا خر در بلندمدت است. میزان دقت مدل تصحیح خطا برای پیش‏بینی قیمت سبد با معیار ریشه میانگین مربعات خطا آزمون شده است. هرچند به نظر می‏رسد مدل تصحیح خطا پیش‌بینی بهتری ارائه دهد، اما مطابق آزمون رتبه علامت‏دار ویلکاکسن، یکسان بودن مقدار ریشه میانگین مربعات خطا رد نشده و اختلاف معناداری بین این دو مقدار در حالتی که عبارت خطا در مدل لحاظ شده و در حالتی که عبارت خطا در مدل لحاظ نشده، وجود ندارد.

کلیدواژه‌ها

20.1001.1.23453214.1397.6.2.5.8

عنوان مقاله [English]

A Survey on Lead-Lag Effect on Small and Large Size Portfolios in Tehran Stock Exchange

نویسندگان [English]

Shaghayegh Rezaei ¹
Mohammad ebrahim Aghababaei ²

¹ Kharazmi University

² faculty of financial sciences, kharazmi university

چکیده [English]

In inefficient markets, returns are not distributed normally and they have serial correlations. It is obvious that the price changes are not independent, so there is a pattern in price changes which help investors to gain unusual benefits. One of the patterns which are concerned with an inefficient market is the lead-lag effect. This research investigates the existence of this effect between small and large size portfolios in Tehran Stock Exchange during the period of 2011-2017. This relationship was examined both in short-run by using cross-correlation approach and vector auto-regressive model and long-run by employing cointegration methodology. Cross-correlation matrices imply that there is a lead-lag effect in short-run. Existence profiles and variance decomposition are used for further validation, the results show that all of the shocks were fully absorbed after three weeks but there is no pattern for big portfolios indicating that they absorbed the shocks more rapidly than small portfolios, and also overreaction is observed only in one out of two small portfolios of the sample.With confirming the existence of lead-lag effect in long-run by Cointegration approach, the ability of ECM models in out of sample forecasting is concerned which is measured by root mean squared error and Wilcoxon's signed-rank test. However, the results indicate that the error correction model has superior forecasting performance relative to models without the error correction terms but the Wilcoxon's signed-rank test does not reject the null hypothesis that the two RMSEs are the equal.

کلیدواژه‌ها [English]

Portfolio
Lead-lag Effect
Cointegration
Error Correction
Impulse Response Function

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