طراحی مدلی برای پیش‌بینی ریسک سقوط قیمت سهام در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری، گروه مدیریت مالی، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

2 دانشیار، گروه مدیریت مالی، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

3 دکتری مدیریت مالی، مدرس واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران

4 استادیار، گروه ریاضی، واحد تاکستان، دانشگاه آزاد اسلامی، تاکستان، ایران

چکیده

هدف پژوهش حاضر، بررسی میزان و چگونگی تأثیرپذیری ریسک سقوط قیمت سهام از عوامل مختلف و طراحی مدلی برای پیش‌بینی آن در بورس اوراق بهادار تهران می‌باشد. بر این اساس، ضمن مروری بر ادبیات موضوعی مربوط به ریسک سقوط قیمت سهام، در بخش کیفی، تعداد 12 نفر از طریق روش نمونه‌گیری نظری و قاعده‌ انتخاب تدریجی، از میان جامعه آماری خبرگان بازار سرمایه انتخاب و سپس، با جمع‌آوری داده‌های مورد نیاز به وسیله‌ ابزارهای مراجعه به اسناد و مدارک و مصاحبه، به استخراج مدل هدف‌گذاری‌شده پژوهش با بهره‌‌گیری از نرم‌افزار MAXQDA18 پرداخته شده است. برای بخش دوم و آزمون مدل تجربی فرضیه پژوهش، از جامعه آماری کلیه شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران تعداد 100 شرکت طی سال‌های 1388 الی 1398 بر اساس روش نمونه‌گیری هدفمند (حذف سیستماتیک) انتخاب گردیده است. در ادامه، با استفاده از نرم افزار PLS جهت آزمون متغیرهای مدل کمی مستخرج از طریق روش کیفی، مدل به صورت معادلات ساختاری مورد آزمون قرار گرفته است. نتایج پژوهش نشان می‌دهند دستیابی به مدلی برای پیش‌بینی ریسک سقوط قیمت سهام با استفاده از رویکرد کیفی و کمی و ارائه روشی برای سنجش صحت برازش آن امکان‌پذیر است و به ترتیب، هفت متغیر حاصل شده از بخش کیفی؛ متغیرهای مالی، استراتژی‌های تجاری، توانایی مدیریتی و عدم‌تقارن اطلاعاتی تحت عنوان عوامل درونی و متغیرهای کلان اقتصادی، ارتباطات سیاسی و مسئولیت اجتماعی بعنوان عوامل بیرونی بر ریسک سقوط قیمت سهام تأثیرگذار می‌باشد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Designing a Model to Predict Stock Price Crash Risk in the Tehran Stock Exchange

نویسندگان [English]

  • Farzaneh Valizadeh 1
  • Amir Mohamadzadeh 2
  • Mohsen Seighali 3
  • Mohsen Torabian 4
1 PhD Student, Department of financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran
2 Associate Professor, Department of financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran
3 Ph.D. in Financial Management, Lecturer at Qazvin Branch, Islamic Azad Uinversity, Qazvin, Iran
4 Assistant Professor, Department of Mathematics, Takestan Branch, Islamic Azad University, Takestan, Iran
چکیده [English]

This study aims to investigate how and to what extent stock price crash risk is affected by various factors and tries to design a model to predict this relationship in the Tehran Stock Exchange. Accordingly, Besides reviewing the literature on stock price crash risk, 12 experts were selected from the statistical population of the capital market for the qualitative part using the theoretical sampling method and the gradual selection rule. Once the data were collected by referencing documents and interviews, the target model was extracted by MAXQDA18 software. The systematic random sampling was used to select 100 companies from a statistical sample of listed companies on the Tehran Stock Exchange over 2009-2019 to test the research hypothesis. Then, a quantitative model derived through the qualitative method was tested as structural equations using the PLS software.The results indicate that it is possible to achieve a model for predicting the stock price crash risk using a mixed (qualitative and quantitative) approach and providing a method to assess its fitness accuracy. and respectively the seven variables obtained from the qualitative part; Financial variables, business strategies, managerial ability and information asymmetry as internal factors and macroeconomic variables, political relations and social responsibility as external factors affect the stock price crash risk.

کلیدواژه‌ها [English]

  • Qualitative-Quantitative Research Method
  • Stock
  • Stock Price
  • Stock Price Crash Risk

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  • تاریخ دریافت: 17 آبان 1399
  • تاریخ بازنگری: 18 خرداد 1400
  • تاریخ پذیرش: 03 تیر 1400

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