نقش تعدیل کننده اندازه دولت در اثرگذاری نااطمینانی سیاست اقتصادی بر بازار سهام با روش فوریه بوت استرپ ARDL
فصلنامه بورس اوراق بهادار

فصلنامه بورس اوراق بهادار

نقش تعدیل کننده اندازه دولت در اثرگذاری نااطمینانی سیاست اقتصادی بر بازار سهام با روش فوریه بوت استرپ ARDL

نوع مقاله : مقاله پژوهشی

نویسندگان
1 مدرس، گروه اقتصاد، دانشکده ادبیات و علوم انسانی، دانشگاه ایلام، ایلام، ایران. (alimoridian@ymail.com)
2 استادیار ،گروه اقتصاد، دانشگاه ایلام، ایلام، ایران. A.azadi@ilam.ac.ir
چکیده
قیمت سهام، بازتابی از چشم‌انداز آینده و سلامت مالی شرکت‌ها است و از مهم‌ترین شاخص‌ها در تصمیم‌گیری‌های سرمایه‌گذاری محسوب می‌شود. این شاخص به‌شدت تحت تأثیر نااطمینانی‌های اقتصادی قرار دارد که ممکن است ناشی از نوسانات تولید، اشتغال، نرخ بهره، قیمت نفت و نرخ ارز باشد. سیاست‌های اقتصادی دولت نیز می‌تواند از طریق تصمیم‌گیری‌های نادرست و سوءمدیریت، بر افزایش نااطمینانی اقتصادی تأثیرگذار باشد. در این مطالعه، اثر نااطمینانی سیاست اقتصادی (EPU) بر بازار سهام ایران در بازه زمانی 1370-1402 بررسی شده است. به‌منظور ارزیابی دقیق این رابطه، از روش فوریه بوت‌استرپ ARDL و فوریه ADL استفاده شده است. همچنین، این پژوهش نقش تعدیل‌کننده اندازه دولت را در تأثیر نااطمینانی سیاست اقتصادی بر بازده سهام مورد بررسی قرار می‌دهد. یافته‌های تحقیق نشان می‌دهد که نااطمینانی سیاست اقتصادی اثر منفی و معناداری بر شاخص قیمت سهام دارد. با این حال، مخارج دولت می‌تواند به‌عنوان یک عامل تعدیل‌کننده، این اثر منفی را کاهش دهد. نتایج نشان می‌دهد که افزایش اندازه دولت باعث تشدید حساسیت بازار سهام نسبت به نااطمینانی سیاستی می‌شود. علاوه بر این، سایر متغیرهای کلان اقتصادی مانند نرخ ارز، قیمت نفت و تورم نیز تأثیر قابل‌توجهی بر بازار سهام دارند. بر اساس نتایج این پژوهش، کاهش نااطمینانی از طریق شفاف‌سازی سیاست‌های اقتصادی و تقویت پیش‌بینی‌پذیری آن‌ها می‌تواند موجب افزایش اعتماد سرمایه‌گذاران و ثبات بازار شود. همچنین، سیاست‌گذاران باید مخارج دولت را به سمت پروژه‌های زیربنایی و تولیدی هدایت کنند تا علاوه بر کاهش اثرات منفی نااطمینانی، رشد اقتصادی پایدار را تضمین نمایند.
کلیدواژه‌ها
موضوعات

عنوان مقاله English

The Moderating Role Of Government Size In The Impact Of Economic Policy Uncertainty On The Stock Market Using The Fourier Bootstrap ARDL Method.

نویسندگان English

ALI moridian 1
Abbas Azadi 2
1 Lecturer, Department of Economics, Faculty of Literature and Humanities, University Ilam, Ilam, Iran. (alimoridian@ymail.com)
2 Assistant Professo, Department of Economics, Faculty of Literature and Humanities, University Ilam, Ilam, Iran. A.azadi@ilam.ac.ir
چکیده English

Stock Price, Reflects The Future Prospect And Financial Health Of Companies And Is Considered One Of The Most Important Indicators In Investment Decisions. This Index Is Strongly Affected By Economic Uncertainties That May Arise From Fluctuations In Production, Employment, Interest Rates, Oil Price, And Exchange Rate. Government Economic Policies Can Also Affect The Increase In Economic Uncertainty Through Incorrect Decision-Making And Mismanagement. In This Study, The Effect Of Economic Policy Uncertainty (Epu) On The Iranian Stock Market During The Period 1991-2023 Has Been Investigated. In Order To Accurately Assess This Relationship, The Fourier Bootstrap Ardl And Fourier Adl Methods Have Been Used. Also, This Study Examines The Moderating Role Of Government Size In The Effect Of Economic Policy Uncertainty On Stock Returns. The Research Findings Show That Economic Policy Uncertainty Has A Negative And Significant Effect On The Stock Price Index. However, Government Expenditure Can Act As A Moderating Factor To Reduce This Negative Effect. The Results Show That Increasing Government Size Increases The Sensitivity Of The Stock Market To Policy Uncertainty. In Addition, Other Macroeconomic Variables Such As Exchange Rate, Oil Price, And Inflation Also Have A Significant Impact On The Stock Market. According To The Results Of This Study, Reducing Uncertainty By Making Economic Policies More Transparent And More Predictable Can Increase Investor Confidence And Market Stability. Also, Policy Makers Should Direct Government Spending Towards Infrastructure And Production Projects To Reduce The Negative Effects Of Uncertainty And Ensure Sustainable Economic Growth.

کلیدواژه‌ها English

: Economic Policy Uncertainty
Stock Market
Government Size
Fourier Bootstrap Ardl Method
Fourier Adl Method
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