مقایسه تاثیر پذیری بازدهی سهام صنایع منتخب صادراتی و وارداتی از نوسانات نرخ ارز

با توجه به این که کشور ایران طی سال‌های اخیر با نوسانات عمده‌ای در نرخ ارز مواجه بوده و این نوسانات نیز دارای نقش اساسی در تعیین میزان بازدهی صنایع صادراتی و وارداتی کشور هستند، در این مطالعه با استفاده از نظریات اقتصادی و با تکیه بر مدل تصحیح خطای پانل (pecm) و آزمون‌های هم انباشتگی و علیت پانل ، رابطه کوتاه مدت و بلند مدت بین نرخ ارز و بازدهی سهام صنایع عمده صادراتی و وارداتی فعال در بورس اوراق بهادار تهران با استفاده از داده‌های ماهیانه طی دوره زمانی 94-1384 مورد آزمون و بررسی قرار گرفته است و به صورت کمّی برآورد خواهد گردید. برآورد ضرایب بلندمدت در این مطالعه با استفاده از روش حداقل مربعات معمولی پویا (dols) و برآورد ضرایب کوتاه مدت و روابط علیت با استفاده از روش گروه میانگین ادغام شده (pmg) انجام می‌گیرد. نتایج به دست آمده بیانگر این است که یک رابطه تعادلی بلندمدت بین متغیر نرخ ارز و سایر متغیرهای موثر بر بازده سهام شامل بازده مازاد بازار، قیمت نفت خام، نرخ تورم و نرخ بهره با بازدهی سهام صنایع مورد مطالعه طی دوره مورد بررسی وجود دارد. یافته‌ها در گروه صنایع صادرکننده نشان می‌دهد که نرخ ارز تاثیر مثبتی بر بازده سهام داشته و یک رابطه دو طرفه بین این دو متغیر وجود دارد؛ در حالی که یافته‌های معادلات برآورد شده در گروه صنایع وارد کننده نشان دهنده یک رابطه دوطرفه منفی بین نرخ ارز و بازده سهام صنایع مذکور است.

Comparing the Influential of Stock Return of Selected Exporter and Importer Industries from the Exchange Rate Fluctuations

Introduction Iran has faced with high fluctuations in exchange rates in recent years and this volatility plays an important role in determining the return of exporter and importer industries in Iran. Thus, this study will estimate the relationship between exchange rate and return of exporter and importer industries in Tehran stock exchange. In addition, world oil price, excess market return, inflation rate and interest rate, which are the most important variables affecting the stock return, will be introduced as explanatory variables. Theoretical framework Exchange rate is a very important factor in a country’s economy and in the Stock market. An increase in the exchange rate leads to more expensive imports for domestic industries and increases their production costs. This has a negative effect on industries’ profit and their dividends and thus decreases their stock return. On the other hand, an increase in the exchange rate leads to more export and also improves the competition position of domestic producers and thus has a positive effect on the stock returns. The relationship between foreign currency and stock can also be investigated from another point of view; foreign currencies (especially the U.S. dollar) are an alternative asset for stock in countries. Hence, an increase in the exchange rate may increase the demand for foreign currency and shift some part of investor’s money from the stock market to the exchange market, leading to a decrease in the stock return. We estimate the relationship between exchange rate, world oil price, excessive market return, inflation rate and interest rate, and return of exporter and importer industries in Tehran stock exchange for two groups of industries. We consider four major export industries (ie.e, metal ores mining; cement, lime and plaster; basic metal; and chemicals and byproducts) and the four major import industries (i.e., motor vehicles and auto parts; pharmaceuticals; machinery and equipment; and nonmetallic mineral products) in Iran, respectively. These industries are closely related to international markets and all of their transactions are conducted by international currency and thus any fluctuations in exchange rate will affect their stock return. Considering the importance of these two groups in Iran’s economy, we estimate the relationship between their stock returns and mentioned variables to analyze how these variables, particularly exchange rate, affect export and import industries in Iran. Methodology The long run and short run relationship between exchange rate and return of exporter and importer industries in Tehran stock exchange will be estimated using economic theory, and Panel Error Correction Model (PECM), panel cointegration and causality tests during 20052016. Long run and short run coefficients estimations have been done using Dynamic Ordinary Least Square (DOLS) and Pooled Mean Group (PMG) respectively. Conclusion The results indicate that there is a longrun equilibrium relationship between exchange rate, excessive market return (premium), real crude oil price, inflation rate and interest rate with stock return. The relationship between exchange rate and stock return of exporter industries is positive and there is a bidirectional relationship between these variables. This relationship in importer group is negative.