ارائه شاخصی جهت سنجش گرایش احساسی سرمایه‌گذاران در بازار سرمایه ایران

آقاسی, احسان; توحیدی, محمد; امیرشاهی, علی

doi:10.22051/jfm.2024.44173.2838

ارائه شاخصی جهت سنجش گرایش احساسی سرمایه‌گذاران در بازار سرمایه ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

¹ کارشناسی‌ارشد، گروه مالی، دانشکده مالی، دانشگاه خاتم، تهران، ایران

² دانشیار، گروه مالی، دانشکده معارف اسلامی و مدیریت، دانشگاه امام صادق (ع)، تهران، ایران

³ دانشجوی کارشناسی ارشد، گروه مالی، دانشکده معارف اسلامی و مدیریت، دانشگاه امام صادق (ع). تهران، ایران

10.22051/jfm.2024.44173.2838

چکیده

گرایش احساسی بازار یا گرایش احساسی سرمایه‌گذار، تلقی عمومی سرمایه‌گذاران نسبت به یک اوراق بهادار خاص یا کل بازار مالی است. احساسات سرمایه‌گذاران یکی از عومل مهم تأثیرگذار بر قیمت سهام ارزیابی می‌‌گردد اما تورش‌های رفتاری انسان‌‌ها، سنجش میزان احساسات را با چالش‌‌هایی مواجه ساخته است؛ بنابراین مسئله اصلی این پژوهش استخراج یک شاخص کمی برای سنجش گرایش احساسی سرمایه گذاران در بورس اوراق بهادار تهران است. این پژوهش از منظر هدف کاربردی و از منظر نحوه گردآوری ‌داده‌ها، توصیفی _ همبستگی محسوب می‌شود. در این پژوهش با استفاده از روش تحلیل مؤلفه‌‌های اساسی (PCA) شاخصی برای سنجش گرایش احساسی سرمایه‌گذاران بورس اوراق بهادار تهران بر اساس داده‌های ماهیانه طی بازه زمانی در سال های در سال‌های 1393 تا 1399 استخراج گردید. متغیرهای احساسی مورد استفاده در شاخص نهایی عبارت‌ اند از: میزان گردش معاملات سهام، خالص جریان نقد صندوق‌های مشترک سهامی، نسبت معاملات سرمایه‌گذاران خرد، دقیق تنزیل واحدهای صندوق‌های با سرمایه بسته، نسبت قیمت به درآمد، شاخص خط روانشناسی، شاخص قدرت نسبی و حجم معاملات سهام.

کلیدواژه‌ها

موضوعات

مالی رفتاری

عنوان مقاله [English]

Providing an Index to Measure the Sentiment Investor in the Iranian Capital Market

نویسندگان [English]

Ehsan Aghasi ¹
Mohammad Tohidi ²
Ali Amirshahi ³

¹ MSc Student, Financial Department, Faculty of Finance, khatam University, Tehran

² Associate Professor, Department of Finance, Faculty of Islamic Studies and Management, Imam Sadegh University, Tehran, Iran

³ Student, Department of Finance, Faculty of Islamic Studies and Management, Imam Sadegh University, Tehran, Iran,

چکیده [English]

Market sentiment or investor sentiment is investors' general perception towards a particular security or the entire financial market. Investors' emotions are considered one of the critical factors affecting the stock price, but the behavioral tendencies of humans have made the measurement of emotions face challenges; Therefore, the main problem of this research is to extract a quantitative index to measure sentiment tendency in Tehran Stock Exchange. This research is considered to be descriptive-correlational from the point of view of practical purpose and from the point of view of data collection. In this research, using the principal component analysis (PCA) method, an index was extracted to measure the emotional tendency of Tehran Stock Exchange investors based on monthly data during the period of 2019-2018. The emotional variables used in the final index are the number of stock transactions, the net cash flow of mutual funds, the ratio of small investors' transactions, the discount of investment companies' shares, the price-to-earnings ratio, the psychological line index, the relative strength index, and the volume of stock transactions.

کلیدواژه‌ها [English]

Investor sentiment
Market sentiment
Stock market
Principal component analysis
PCA

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