آزمون نقش شدت تحقیق و توسعه در بازدهی سهام و رقابت خودمخرب شومپیتری بورس اوراق بهادار تهران (رهیافت رگرسیون انتقال ملایم پنلیPSTR)
فصلنامه بورس اوراق بهادار

فصلنامه بورس اوراق بهادار

آزمون نقش شدت تحقیق و توسعه در بازدهی سهام و رقابت خودمخرب شومپیتری بورس اوراق بهادار تهران (رهیافت رگرسیون انتقال ملایم پنلیPSTR)

نوع مقاله : مقاله پژوهشی

نویسندگان
1 استادیار دانشگاه پیام نور، تهران، ایران
2 مربی، گروه اقتصاد، دانشگاه پیام نور، تهران، ایران.
چکیده
هدف محوری این پژوهش بررسی رابطه بین درجه رقابت، شدت تحقیق و توسعه و بازدهی سهام در شرکت های فعال بورس اوراق بهادار تهران می باشد. در این مطالعه دو رابطه متمایز و چگونگی اثرگذاری درجه رقابت بر شدت تحقیق و توسعه و تاثیر شدت تحقیق و توسعه بر بازدهی سهام مدنظر است. بدین منظور با استفاده از داده های 153 شرکت فعال در بورس طی سال های 1397-1386 و الگوی رگرسیون انتقال ملایم پنلی (PSTR) نسبت به آزمون فرضیه رابطه و چگونگی اثرگذاری متغیرهای مذکور اقدام گردید. نتایج پژوهش در دو معادله شدت تحقیق و توسعه و بازدهی سهام نشان می دهد که به وضوح رابطه غیرخطی بین متغیرهای مورد مطالعه وجود دارد و در معادله شدت تحقیق و توسعه با افزایش درجه رقابت به عنوان متغیر انتقال تا سطح 0/325 شدت مخارج تحقیق و توسعه و نوآوری افزایش می یابد اما با گذر از این مقدار کاهش می یابد. علاوه بر این در معادله بازدهی سهام نیز با افزایش شدت تحقیق و توسعه و رشد نوآوری به عنوان متغیر انتقال تا سطح 0/123 بازدهی سهام افزایش یافته و با گذر از این مقدار کاهش می یابد. در مجموع، نتایج مربوط به دو معادله شدت تحقیق و توسعه و بازدهی سهام موید آن است که در شرکت های فعال بورس اوراق بهادار تهران رابطه U معکوس بین متغیرهای تحقیق تایید می شود؛ به گونه ای که قبل از سطح آستانه تاثیر متغیر مستقل بر وابسته افزایشی و پس از آن کاهشی بوده است.
کلیدواژه‌ها

عنوان مقاله English

Examining the Role of Research and Development intensity in Stock return and Schumpeterian Self-Destructive Competition of Tehran Stock Exchange: Panel Smooth Transaction Regression Approach

نویسندگان English

samaneh noraniazad 1
erfaneh rasekhjahromi 2
1 Assistant professor, Payame noor University, Tehran, Iran
2 Instructor, Department of Economics, Payame Noor University, Tehran, Iran.
چکیده English

the main purpose of this article was testing the relation between competition degree, research and development expenditure intensity and stock return in Tehran security market. This article sought to investigate two distinct relationships: the first one was relation between competition degree and research and development intensity and the second was relationship among research and development and return stock. To meet this ends the data of 153 institution in Tehran security market over the period of 1997-2018 and a panel smooth transition approach were used. The results indicated that, clearly there were the nonlinear relationship among variables in research and development expenditure intensity and stock returns equations. Also, in the research and development intensity equation when competition degree is transition variable, by increasing competition degree until threshold value 0.325 the research and development intensity increased but after this threshold value, its effect decreased. Moreover, in the stock returns equation that the research and development has chosen as transition variable, research and development intensity increased till the threshold value of 0.123 and after this threshold this impact has been decreased. Overall, the results of research and development expenditure intensity and stock returns equations showed that in the companies of Tehran Stock Exchange, the U-inverse relationship between the variables is confirmed; In such a way that before the threshold level, the effect of the independent variable on the dependent has been increasing and then decreasing.

کلیدواژه‌ها English

Research and Development Expenditure intensity
Competition Degree
Stock Returns
Security Market
Panel Smooth Transition Regression Model (PSTR)
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