انتخاب تابع مناسب جهت بررسي عوامل مؤثر بر قيمت سهام معامله‌شده در بازار بورس اوراق بهادار و پيش بيني آتي اين قيمت ها

Investigation of the Effective Factors on the Price of Shares Traded in Stock Exchange

با توجه به اهميت تغييرات قيمت نفت در درآمد‏هاي نفتي ايران به عنوان يك كشور صادر‏كننده نفت و در نتيجه اثرات آن بر اقتصاد نفتي كشور، هدف اين مقاله بررسي اثرات شوك‏‏هاي نفتي بر تغييرات مهم‌ترين شاخص بورس اوراق بهادار در ايران، يعني شاخص كل قيمتي است. بررسي قيمت سهام در بورس اوراق بهادار و به‌تبع آن بررسي و كنترل بازار سرمايه كه بخشي مهمي از بازارهاي مالي در هر كشور است، به عنوان عامل پر اهميتي در سياست‌گذاري و اعمال سياست‌هاي كلان اقتصادي نقش دارد. اين بازارها با كنترل و هدايت پس‌اندازها و نقدينگي موجود به بخش‌هاي مختلف اقتصاد ملي، سبب سرمايه‌گذاري و انتقال سرمايه به شركت‌ها، بنگاه‌ها و فعالان اقتصادي شده و چشم اندازه آتي اين سازمان هاي اقتصادي را نشان مي دهند. با توجه به اينكه در كوتاه‌مدت شوك و شدت جابجايي نقدينگي و سرمايه بخش خصوصي و افراد جامعه از بخش‌هاي اقتصادي به غيراقتصادي بسيار بالاست، لذا شناسايي و معرفي اطلاعات، ساختار و پيش‌بيني اين بازار كوتاه‌مدت جهت تعيين سياست‌هاي مناسب بسيار حياتي است. در اين مقاله سعي شده است با نگاهي بر داده‌هاي آماري ماهانه 1380:1 تا 1392:12به بررسي عوامل مؤثر بر ارزش سهام در بورس بپردازد كه در اينجا با استفاده از آزمون غيرآشيانه اي مدل بهينه و مناسب جهت بررسي عوامل مؤثر بر ارزش سهام در بورس انتخاب شده و رابطه موجود برمبناي روش خود توضيح برداري VARتخمين زده مي شود. از طرفي با توجه به اينكه از طريق پيش‌بيني اين‌گونه بازارهاي مالي و سرمايه اي كه با ثبات و كارآمد هستند، مي توان چارچوبي جهت رسيدن به رشد و توسعه اقتصادي ارائه كرد. اين مقاله به بررسي ثبات ساختاري و پيش‌بيني اين بازار بر مبناي فرايند خودتوضيح جمعي با ميانگين متحرك ARIMAپرداخته و بر اساس نتايج به دست آمده، سياست‌هاي كاربردي پيشنهاد مي‌گردد.

With regard to the importance of oil price changes in Iran’s oil revenues as an oil exporter and its effects on it 's economy, the aim of this paper is to investigate the effects of the oil shocks on the changes of the most important index of the Stock Exchange in Iran called the total price index. Introduction Investigating the price of shares in stock exchange and studying and controlling the investment market, which is an important part of financial markets in every country, play an important role in policy making and applying macroeconomic policies. Controlling available savings and liquidity and conducting them towards different parts of national economics, this market leads to the investigation and transmission of investment to economic institutions and thereby providing future perspectives of economic firms. Given the fact during a short period of time, shock and the intensity of the movement of liquidity and capital of both the private sector and people of society in transfering from economic parts to noneconomic ones are high, the recognition and introduction of information, structure and prediction of short term market for determining appropriate policies is vital. Methodology In this work, having looked at monthly statistics data (20012012), the reseachers tried to investigate the factors affecting the value of shares in the stock market. It is done by using a nonnested optimization model test to select the suitable model and to examine the factors affecting the value of shares in the stock market. In addition, their relationship will be described and estimated based on the VAR method. On the other hand, since the prediction of financial and capital market is efficient and stable, we can provide a framework for achieving economic growth and development. Thus, this paper will examine the structural stability and forecast it 's market based on Auto Regression Moving Average process and according to the results, the applicable policies will be suggested. Results and Discussion The primary duty of exchange stock is providing capital stock for the government, the private, and industry sectors in the form of collecting stagnant savings and the liquidity of private sector in order to finance the longterm investment projects. Stock Exchange is the official and confident authority where holders of stagnant savings can relatively find reliable investment places and use their surplus funds to invest on companies or buy bonds to gain a guaranteed profit. In other words, the Stock Exchange plays a dual function in the structure of a free economy: one the one hand, it helps to increase the capital of the government and the private sector, and on the other hand, it creates the secondary market to meeting the potential and actual investors. Investigation, controlling and conducting the market can lead to the financial resources of the capital market and investment for development and growth and the policies are planned on the basis of the goals of macroeconomic. Economists believe one of the reasons for the lack of the development of developing countries is the low level of investment. In this regard, the capital market is the main and important centre to attract these savings. Accordingly, we should identify its influential factors in the market, and thus use appropriate policies for the progression and growth of the market. Achieving the optimal growth and development of economy without mobilization of financial resources in long term is impossible. In this regard, the position and the role of capital market are of high importance. The capital market, which is the market of demand and supply of financial resources, can play a vital role when the process of supply and demand of its financial sources is the optimal allocations. The main prerequisite for the optimal allocations of resources in the capital market is the efficiency in their performance. Thus, the difference between effective and efficient capital markets with inefficient markets is in the phenomenon of information and having access to them. As the information related to the capital market (for a comprehensive, coherent and effective market activity) increases, the impact of the capital market on the growth and development of economy becomes more. Conclusions and Suggestions Thus, policy makers should pay attention to the Stock Exchange, its flourishing growth and to government policies, control the foreign exchange market, prevent the uncontrolled growth of liquidity, eliminate the cumbersome investment regulations and incentives tax, and finally draw a plan for implementation of economic policies. In this regard, it is essential the country 's economic managers identify macroeconomic variables affecting the stock market, especially governmentcontrolled variables and how their influence can lead to appropriate policies for the stimulatation of the market and growth of economy.