‫ﺑﺮﺭﺳﻲﻫﺎﻱ ﺣﺴﺎﺑﺪﺍﺭﻱ ﻭ ﺣﺴﺎﺑﺮﺳﻲ‪ ،‬ﺳﺎﻝ ‪ ،۱۴‬ﺷﻤﺎﺭﻩ ‪،۴۹‬ﭘﺎﻳﻴﺰ ‪ ،١٣٨٦‬ﺍﺯ ﺻﻔﺤﻪ ‪ ۲۵‬ﺗﺎ ‪۴۴‬‬

‫ﺑﺮﺭﺳﻲ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ‬

‫ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﺩﺭ ﺑﻮﺭﺱ‬
‫ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﻃﻲ ﺳﺎﻝﻫﺎﻱ ‪ ١٣٨٠‬ﺗﺎ ‪١٣٨٤‬‬
‫*‪۲‬‬
‫ﻏﻼﻣﺮﺿﺎ ﺍﺳﻼﻣﻲ ﺑﻴﺪﮔﻠﻲ‪ ،۱‬ﺳﺎﺭﺍ ﺷﻬﺮﻳﺎﺭﻱ‬

‫‪ ۱‬ﺍﺳﺘﺎﺩﻳﺎﺭ ﺩﺍﻧﺸﮑﺪﻩ ﻣﺪﻳﺮﻳﺖ ﺩﺍﻧﺸﮕﺎﻩ ﺗﻬﺮﺍﻥ‪ ،‬ﺍﻳﺮﺍﻥ‬

‫‪ ۲‬ﮐﺎﺭﺷﻨﺎﺱ ﺍﺭﺷﺪ ﻣﺪﻳﺮﻳﺖ ﻣﺎﻟﻲ ﺍﺯ ﺩﺍﻧﺸﮕﺎﻩ ﺗﻬﺮﺍﻥ‪ ،‬ﺍﻳﺮﺍﻥ‬

‫‪D‬‬
‫)ﺗﺎﺭﻳﺦ ﺩﺭﻳﺎﻓﺖ ﻣﻘﺎﻟﻪ‪ ،۱۳۸۵/۱۰/۷ :‬ﺗﺎﺭﻳﺦ ﺗﺼﻮﻳﺐ‪(۱۳۸۶/۶/۳ :‬‬

‫ﭼﮑﻴﺪﻩ‬

‫‪SI‬‬
‫ﺩﺭ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﻭﺟﻮﺩ ﺭﻓﺘﺎﺭ ﺗـﻮﺩﻩﻭﺍﺭ ﻣـﺸﺎﺭﮐﺖﮐﻨﻨـﺪﮔﺎﻥ ﺩﺭ ﺑـﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬـﺎﺩﺍﺭ ﺗﻬـﺮﺍﻥ ﻣـﻮﺭﺩ‬
‫ﺑﺮﺭﺳﻲ ﻭ ﺁﺯﻣﻮﻥ ﻗﺮﺍﺭ ﮔﺮﻓﺘﻪ ﺍﺳﺖ‪ .‬ﺷﻮﺍﻫﺪ ﺍﻭﻟﻴﻪ ﺣﮑﺎﻳـﺖ ﺍﺯ ﺁﻥ ﺩﺍﺭﻧـﺪ ﮐـﻪ ﺳـﺮﻣﺎﻳﻪﮔـﺬﺍﺭﺍﻥ ﺩﺭ‬
‫ﺑــﻮﺭﺱ ﺍﻭﺭﺍﻕ ﺑﻬــﺎﺩﺍﺭ ﺗﻬــﺮﺍﻥ ﺟﻬــﺖ ﺗﻌﻴــﻴﻦ ﺍﺭﺯﺵ ﺳــﻬﺎﻡ‪ ،‬ﮐﻤﺘــﺮ ﺍﺯ ﺭﻭﺵﻫــﺎﻱ ﮐﻤ ـﻲ ﺍﺳــﺘﻔﺎﺩﻩ‬
‫ﻣﻲﻧﻤﺎﻳﻨﺪ ﻭ ﻗﻀﺎﻭﺕﻫﺎﻱ ﺍﻳﺸﺎﻥ ﺑﻴﺸﺘﺮ ﻣﺒﺘﻨﻲ ﺑﺮ ﺗﺼﻮﺭﺍﺕ ﺫﻫﻨﻲ‪ ،‬ﺍﻃﻼﻋﺎﺕ ﻏﻴﺮﻋﻠﻤـﻲ‪ ،‬ﺷـﺎﻳﻌﺎﺕ ﻭ‬
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‫ﭘﻴﺮﻭﻱ ﮐﻮﺭﮐﻮﺭﺍﻧﻪ ﺍﺯ ﻋﺪﻩ ﻣﻌﺪﻭﺩﻱ ﺍﺯ ﺍﻓﺮﺍﺩ ﺑﻪ ﻋﻨﻮﺍﻥ ﻣﺸﺎﺭﮐﺖﮐﻨﻨﺪﮔﺎﻥ ﭘﻴﺸﺮﻭ ﺩﺭ ﺑﺎﺯﺍﺭ ﺳـﺮﻣﺎﻳﻪ‬
‫ﺍﺳﺖ‪ .‬ﺍﻳﻦ ﺭﺍﺳﺘﺎ‪ ،‬ﺑـﺎ ﺍﺳـﺘﻔﺎﺩﻩ ﺍﺯ ﺩﻭ ﻣـﺪﻝ ﺑـﻪ ﺑﺮﺭﺳـﻲ ﺍﻳـﻦ ﺭﻓﺘـﺎﺭ ﺩﺭ ﺑـﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬـﺎﺩﺍﺭ ﺗﻬـﺮﺍﻥ‬
‫ﭘﺮﺩﺍﺧﺘﻪ ﺧﻮﺍﻫﺪ ﺷﺪ‪ .‬ﺑﺪﻳﻦ ﻣﻨﻈﻮﺭ ﺍﻧﺤﺮﺍﻑ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﻓﻮﺍﺻﻞ ﺯﻣﺎﻧﻲ‬
‫‪ive‬‬

‫ﺭﻭﺯﺍﻧﻪ‪ ،‬ﻫﻔﺘﮕﻲ ﻭ ﻣﺎﻫﺎﻧﻪ‪ ،‬ﺩﺭ ﮐﻞ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻭ ﻧﻴﺰ ﺩﺭ ﺧﻼﻝ ﺩﻭﺭﻩﻫﺎﻱ ﻧﻮﺳـﺎﻧﺎﺕ ﺍﻓﺰﺍﻳـﺸﻲ‬
‫ﻳﺎ ﻛﺎﻫﺸﻲ ﺑﺎﺯﺍﺭ ﻣﻮﺭﺩ ﺗﺠﺰﻳﻪ ﻭ ﺗﺤﻠﻴﻞ ﻗﺮﺍﺭ ﮔﺮﻓﺘﻨﺪ‪ .‬ﻳﺎﻓﺘﻪﻫﺎﻱ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﺣﺎﻛﻲ ﺍﺯ ﺁﻥ ﺍﺳﺖ ﻛـﻪ‬
‫ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﺭ ﺩﻭﺭﺍﻥ ﺭﻭﻧﻖ ﺑﺎﺯﺍﺭ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﻭﺟﻮﺩ ﻧﺪﺍﺭﺩ‪ ،‬ﻭﻟﻲ ﺷﻮﺍﻫﺪﻱ ﺍﺯ‬
‫ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺯﻣﺎﻥ ﺭﮐﻮﺩ ﺑﺎﺯﺍﺭ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺩﺍﺩﻩﻫﺎﻱ ﺭﻭﺯﺍﻧﻪ ﺑﺎﺯﺩﻩ ﻳﺎﻓﺖ ﺷﺪ‪ .‬ﺑﻪ ﺑﻴـﺎﻥ ﺩﻳﮕـﺮ‪ ،‬ﺩﺭ‬
‫‪ch‬‬

‫ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ‪ ،‬ﺍﻧﺤﺮﺍﻑ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﺧﻼﻝ ﺩﻭﺭﻩﻫﺎﻳﻲ ﻛـﻪ‬
‫ﺗﻐﻴﻴﺮﺍﺕ ﺷﺎﺧﺺ ﻗﻴﻤﺖ ﻭ ﺑﺎﺯﺩﻩ ﻧﻘﺪﻱ ﻣﺜﺒﺖ ﻣﻲﺑﺎﺷﺪ‪ ،‬ﺑﻪ ﻣﺮﺍﺗﺐ ﺑﻴﺸﺘﺮ ﻭ ﻗﺎﺑـﻞ ﺗﺎﻣـﻞﺗـﺮ ﺍﺯ ﺯﻣـﺎﻧﻲ‬
‫ﺍﺳﺖ ﮐﻪ ﺗﻐﻴﻴﺮﺍﺕ ﺷﺎﺧﺺ ﻣﻨﻔﻲ ﺍﺳﺖ‪ .‬ﺍﻳﻦ ﻣﺴﺎﻟﻪ ﻧﺸﺎﻥﺩﻫﻨﺪﻩ ﺗﺸﺎﺑﻪ ﺭﻓﺘﺎﺭ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷـﺮﮐﺖﻫـﺎ‬
‫‪Ar‬‬

‫ﺑﺎ ﺭﻓﺘﺎﺭ ﺑﺎﺯﺍﺭ ﺩﺭ ﺩﻭﺭﺍﻥ ﺭﮐﻮﺩ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷﺪ‪ .‬ﻧﻜﺘﻪ ﺩﻳﮕﺮ ﺁﻧﻜﻪ ﺑﺎ ﺍﺳـﺘﻔﺎﺩﻩ ﺍﺯ ﺩﺍﺩﻩﻫـﺎﻱ ﻫﻔﺘﮕـﻲ ﻭ‬
‫ﻣﺎﻫﺎﻧﻪ ﺑﻪ ﺷﻮﺍﻫﺪﻱ ﺍﺯ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺳﺖ ﻧﻴﺎﻓﺘﻴﻢ‪ ،‬ﻛﻪ ﺍﻳﻦ ﻣﺴﺎﻟﻪ ﻣﻲﺗﻮﺍﻧﺪ ﺗﺎﮐﻴﺪﻱ ﺑـﺮ ﻛﻮﺗـﺎﻩ ﻣـﺪﺕ‬
‫ﺑﻮﺩﻥ ﭘﺪﻳﺪﻩ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺑﺎﺷﺪ‪.‬‬

‫ﻭﺍﮊﻩﻫﺎﻱ ﻛﻠﻴﺪﻱ‪ :‬ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ‪ ،‬ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‪ ،‬ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ‬

‫‪Email: sara_shahryary@yahoo.com‬‬ ‫∗ ﻧﻮﻳﺴﻨﺪﻩ ﻣﺴﺌﻮﻝ‪:‬‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٢٦‬‬

‫‪ .١‬ﻣﻘﺪﻣﻪ‬
‫ﺷﻨﺎﺧﺖ ﻓﺮﺍﻳﻨﺪ ﺗﺼﻤﻴﻢﮔﻴﺮﻱ ﻣﺸﺎﺭﻛﺖﻛﻨﻨﺪﮔﺎﻥ ﺩﺭ ﺑﺎﺯﺍﺭ ﻫﻤﻮﺍﺭﻩ ﻣﻮﺿﻮﻋﻲ ﭼﺎﻟﺶ‬
‫ﺑﺮﺍﻧﮕﻴﺰ ﺑﺮﺍﻱ ﻣﺤﺎﻓﻞ ﺩﺍﻧﺸﮕﺎﻫﻲ‪ ،‬ﺳﻴﺎﺳﺖﮔﺬﺍﺭﺍﻥ ﻭ ﺣﺘﻲ ﺑﺮﺍﻱ ﺧﻮﺩ ﻣﺸﺎﺭﻛﺖﻛﻨﻨﺪﮔﺎﻥ ﺑﻮﺩﻩ‬
‫ﺍﺳﺖ‪ .‬ﺗﺎﻛﻨﻮﻥ ﻣﻘﺎﻻﺕ ﺑﻲﺷﻤﺎﺭﻱ ﺑﻪ ﺗﺒﻴﻴﻦ ﺗﺌﻮﺭﻱﻫﺎﻱ ﻣﺎﻟﻲ ﻣﺪﺭﻥ )ﻛﺎﺭﺍﻳﻲ ﺑﺎﺯﺍﺭ‐ ﺭﻓﺘﺎﺭ‬
‫ﻋﻘﻼﻳﻲ( ﭘﺮﺩﺍﺧﺘﻪﺍﻧﺪ ﻛﻪ ﻧﻘﺼﺎﻥ ﺍﻳﻦ ﻧﻈﺮﻳﻪﻫﺎ ﺭﺍ ﺩﺭ ﻣﺪﻝﺳﺎﺯﻱ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺁﺷﻜﺎﺭ ﻧﻤﻮﺩﻩﺍﻧﺪ‪.‬‬
‫ﺗﺌﻮﺭﻱﻫﺎﻱ ﻣﺎﻟﻲ ﻣﺪﺭﻥ ﻓﺮﺽ ﺭﺍ ﺑﺮ ﺁﻥ ﻧﻬﺎﺩﻩﺍﻧﺪ ﻛﻪ ﺍﻧﺘﻈﺎﺭﺍﺕ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺍﺯ ﻗﻴﻤﺖﻫﺎﻱ‬
‫ﺁﺗﻲ‪ ،‬ﻣﻨﺠﺮ ﺑﻪ ﺗﻨﺰﻳﻞ ﺁﻧﻲ ﺗﻤﺎﻣﻲ ﺍﻃﻼﻋﺎﺕ ﺑﺎﺯﺍﺭ ﺩﺭ ﻗﻴﻤﺖﻫﺎ ﻣﻲﺷﻮﺩ‪ .‬ﻃﺒﻖ ﺍﻳﻦ ﺗﺌﻮﺭﻱﻫﺎ‪،‬‬
‫ﺍﻓﺮﺍﺩ‪ ،‬ﻃﺒﻖ ﺍﺻﻮﻝ ﻣﻄﻠﻮﺑﻴﺖ ﻣﻮﺭﺩ ﺍﻧﺘﻈﺎﺭ ﺗﺼﻤﻴﻢﮔﻴﺮﻱ ﻧﻤﻮﺩﻩ ﻭ ﭘﻴﺶﺑﻴﻨﻲﻫﺎﻳﻲ ﺩﺭ ﻣﻮﺭﺩ ﺁﻳﻨﺪﻩ‬

‫‪D‬‬
‫ﺍﻧﺠﺎﻡ ﻣﻲﺩﻫﻨﺪ‪ .‬ﻃﺒﻖ ﺍﻳﻦ ﺍﺻﻮﻝ‪ ،‬ﺍﻓﺮﺍﺩ ﺭﻳﺴﻚﮔﺮﻳﺰﻧﺪ ﻭ ﻣﻄﻠﻮﺑﻴﺖ ﻧﻬﺎﻳﻲ ﺛﺮﻭﺕ ﺁﻧﻬﺎ ﻛﺎﻫﺶ‬
‫ﻣﻲﻳﺎﺑﺪ]‪ .[۹‬ﺩﺭ ﺍﻳﻦ ﺑﺎﺯﺍﺭ ﻭﺍﻛﻨﺶ ﻣﻨﻄﻘﻲ ﺳﺮﻣﺎﻳﻪ ﮔﺬﺍﺭﺍﻥ ﻣﻮﺟﺐ ﺗﻌﺪﻳﻞ ﻗﻴﻤﺖ ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ‬

‫‪SI‬‬
‫ﺑﺮﺍﻱ ﺭﺳﻴﺪﻥ ﺑﻪ ﺍﺭﺯﺵ ﻫﺎﻱ ﻭﺍﻗﻌﻲ )ﺫﺍﺗﻲ( ﻣﻲ ﺷﻮﺩ ]‪ .[۲‬ﭼﻨﻴﻦ ﻣﻔﺮﻭﺿﺎﺗﻲ ﻣﺒﻨﺎﻱ ﺷﻜﻞﮔﻴﺮﻱ‬
‫ﺍﻧﺘﻘﺎﺩﺍﺕ ﺑﻪ ﭘﺎﺭﺍﺩﺍﻳﻢﻫﺎﻱ ﺍﻳﻦ ﺗﺌﻮﺭﻱﻫﺎ ﻗﺮﺍﺭ ﮔﺮﻓﺖ‪ ،‬ﺯﻳﺮﺍ ﺷﻮﺍﻫﺪ ﺩﺭ ﺩﻧﻴﺎﻱ ﻭﺍﻗﻌﻲ ﺑﻪ ﮔﻮﻧﻪ‬
‫ﺩﻳﮕﺮﻱ ﺑﻮﺩﻧﺪ‬
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‫ﻃﻲ ﺩﻫﻪ ‪ ١٩٩٠‬ﻋﻤﺪﻩ ﻣﻄﺎﻟﻌﺎﺕ ﺩﺍﻧﺸﮕﺎﻫﻲ ﺑﻪ ﺑﺴﻂ ﻣﺪﻝﻫﺎﻳﻲ ﭘﺮﺩﺍﺧﺘﻨﺪ ﮐﻪ ﺍﻓﺮﺍﺩ ﺭﺍ ﺑﻪ‬
‫ﺑﺎﺯﺍﺭﻫﺎﻱ ﻣﺎﻟﻲ ﺍﺭﺗﺒﺎﻁ ﻣﻲﺩﺍﺩ‪ .‬ﺑﺪﻳﻦ ﺻﻮﺭﺕ ﮐﻪ ﻣﺤﻘﻘﻴﻦ ﺍﺳﺘﺜﻨﺎﻫﺎﻱ ﻓﺮﺍﻭﺍﻧﻲ ﺭﺍ ﺩﺭ ﺑﺎﺯﺍﺭﻫﺎﻱ‬
‫ﻣﺎﻟﻲ ﭘﻴﺶ ﺭﻭﻱ ﺩﺍﺷﺘﻨﺪ ﮐﻪ ﻧﻈﺮﻳﻪﻫﺎﻱ ﻣﺪﺭﻥ ﻣﺎﻟﻲ ﻗﺎﺩﺭ ﺑﻪ ﺗﺒﻴﻴﻦ ﺁﻧﻬﺎ ﻧﺒﻮﺩﻧﺪ‪ .‬ﺩﺭ ﺍﻳﻦ ﻣﻴﺎﻥ‪،‬‬
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‫ﻣﺎﻟﻲ ﺭﻓﺘﺎﺭﻱ ﺑﻪ ﻋﻨﻮﺍﻥ ﭘﺎﺭﺍﺩﺍﻳﻢ ﺟﺪﻳﺪﻱ ﺩﺭ ﺑﺎﺯﺍﺭﻫﺎﻱ ﻣﺎﻟﻲ‪ ،‬ﺩﺭ ﭘﺎﺳﺦﮔﻮﻳﻲ ﺑﻪ ﻣﺸﮑﻼﺗﻲ ﮐﻪ‬
‫ﺗﺌﻮﺭﻱﻫﺎﻱ ﻣﺎﻟﻲ ﻣﺪﺭﻥ ﺑﺎ ﺁﻥ ﺭﻭﺑﺮﻭ ﺑﻮﺩﻧﺪ‪ ،‬ﻧﻤﻮﺩ ﻳﺎﻓﺖ ]‪ .[۱‬ﺑﻪ ﺑﻴﺎﻥ ﺩﻳﮕﺮ‪ ،‬ﻣﺎﻟﻲ ﺭﻓﺘﺎﺭﻱ ﺍﺷﺎﺭﻩ‬
‫ﺑﻪ ﺍﻳﻦ ﻣﻮﺿﻮﻉ ﺩﺍﺭﺩ ﮐﻪ ﺑﺮﺧﻲ ﭘﺪﻳﺪﻩﻫﺎﻱ ﻣﺎﻟﻲ ﺭﺍ ﻣﻲﺗﻮﺍﻥ ﺩﺭ ﻗﺎﻟﺐ ﻣﺪﻝﻫﺎﻳﻲ ﺗﺒﻴﻴﻦ ﻧﻤﻮﺩ ﮐﻪ‬
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‫ﻼ ﻋﻘﻼﻳﻲ ﻧﻴﺴﺘﻨﺪ‪ .‬ﺑﺎﺭﺑﺮﻳﺰ ﻭ ﺗﺎﻟﺮ )‪ (٢٠٠٣‬ﺑﻴﺎﻥ ﺩﺍﺷﺘﻨﺪ ﻛﻪ ﻋﻘﻼﻧﻴﺖ‬

‫ﺩﺭ ﺁﻧﻬﺎ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﮐﺎﻣ ﹰ‬
‫ﺩﻭ ﺟﻨﺒﻪ ﺩﺍﺭﺩ‪ (١ :‬ﺯﻣﺎﻧﻲﮐﻪ ﻣﺪﻳﺮﺍﻥ ﻭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺍﻃﻼﻋﺎﺕ ﺟﺪﻳﺪﻱ ﺩﺭﻳﺎﻓﺖ ﻣﻲﮐﻨﻨﺪ‪،‬‬
‫ﻋﻘﺎﻳﺪﺷﺎﻥ ﺭﺍ ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﺁﻥ ﺍﻃﻼﻋﺎﺕ ﺗﺼﺤﻴﺢ ﻭ ﺑﻬﻨﮕﺎﻡ ﻣﻲﻧﻤﺎﻳﻨﺪ‪ (٢ .‬ﺁﻧﻬﺎ ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﺍﻳﻦ‬
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‫ﻋﻘﺎﻳﺪ ﺍﻧﺘﺨﺎﺏﻫﺎﻳﻲ ﻣﻲﮐﻨﻨﺪ ﮐﻪ ﺑﻬﻨﺠﺎﺭ ﻭ ﻋﻘﻼﻳﻲ ﻣﻲﺑﺎﺷﺪ‪ .‬ﻣﺎﻟﻲ ﺭﻓﺘﺎﺭﻱ ﺑﻪ ﺗﺤﻠﻴﻞ ﻭ ﺑﺮﺭﺳﻲ‬
‫ﭘﻴﺎﻣﺪﻫﺎﻱ ﮐﻨﺎﺭﮔﺬﺍﺭﻱ ﺍﻳﻦ ﺩﻭ ﺟﻨﺒﻪ ﻋﻘﻼﻧﻴﺖ ﻣﻲﭘﺮﺩﺍﺯﺩ‪ .‬ﺑﺮﺧﻲ ﻣﺪﻝﻫﺎﻱ ﻣﺎﻟﻲ ﺭﻓﺘﺎﺭﻱ ﻧﺸﺎﻥ‬
‫ﺩﺍﺩﻩﺍﻧﺪ ﮐﻪ ﻣﺪﻳﺮﺍﻥ ﻭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺩﺭ ﺑﻪﺭﻭﺯ ﺭﺳﺎﻧﻲ ﻋﻘﺎﻳﺪ ﻭ ﺍﻓﮑﺎﺭ ﺧﻮﺩ ﻧﺎﺗﻮﺍﻥ ﻫﺴﺘﻨﺪ ﻭ‬
‫ﺑﺮﺧﻲ ﺩﻳﮕﺮ ﻧﺸﺎﻥ ﺩﺍﺩﻩﺍﻧﺪ ﮐﻪ ﺁﻧﻬﺎ ﺍﻧﺘﺨﺎﺏﻫﺎﻳﻲ ﻣﻲﮐﻨﻨﺪ ﮐﻪ ﺳﻮﺍﻝ ﺑﺮﺍﻧﮕﻴﺰ ﺍﺳﺖ ﻭ ﺑﺎ ﺍﺻﻮﻝ‬
‫ﻣﻄﻠﻮﺑﻴﺖ ﻣﻮﺭﺩ ﺍﻧﺘﻈﺎﺭ ﻫﻢﺧﻮﺍﻧﻲ ﻧﺪﺍﺭﺩ]‪.[۳‬‬

‫‪www.SID.ir‬‬
‫‪٢٧‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫ﺩﺭ ﺍﻳﻦ ﻣﻴﺎﻥ ﺑﺮﺭﺳﻲ ﻭ ﺁﺯﻣﻮﻥ ﺷﻜﻞﮔﻴﺮﻱ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﺭ ﻣﻴﺎﻥ ﻣﺪﻳﺮﺍﻥ ﻭ‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ‪ ،‬ﺍﺯ ﺟﻤﻠﻪ ﻣﺪﻝﻫﺎﻳﻲ ﺍﺳﺖ ﮐﻪ ﺑﻪ ﺑﺮﺭﺳﻲ ﭼﮕﻮﻧﮕﻲ ﺍﺗﺨﺎﺫ ﺗﺼﻤﻴﻤﺎﺕ‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﻱ ﺗﻮﺳﻂ ﻣﺸﺎﺭﮐﺖﮐﻨﻨﺪﮔﺎﻥ ﺩﺭ ﺑﺎﺯﺍﺭ ﺳﺮﻣﺎﻳﻪ ﻣﻲﭘﺮﺩﺍﺯﺩ‪ .‬ﺩﺭ ﻣﻴﺎﻥ ﺍﻗﺘﺼﺎﺩﺩﺍﻧﺎﻥ‬
‫ﻣﺎﻟﻲ ﻭ ﺣﺮﻓﻪﺍﻱﻫﺎﻱ ﺑﺎﺯﺍﺭ ﺍﻳﻦ ﺍﻋﺘﻘﺎﺩ ﻭﺟﻮﺩ ﺩﺍﺭﺩ ﮐﻪ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺗﺤﺖ ﺗﺎﺛﻴﺮ ﺗﺼﻤﻴﻤﺎﺕ‬
‫ﺳﺎﻳﺮ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﻗﺮﺍﺭ ﻣﻲﮔﻴﺮﻧﺪ‪ .‬ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﻋﺒﺎﺭﺕ ﺍﺳﺖ ﺍﺯ ﺁﻥ ﺩﺳﺘﻪ ﺭﻓﺘﺎﺭﻫﺎﻱ‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺩﺭ ﺑﺎﺯﺍﺭ‪ ،‬ﮐﻪ ﻣﻨﺠﺮ ﺑﻪ ﻧﺎﺩﻳﺪﻩ ﮔﺮﻓﺘﻦ ﭘﻴﺶﺑﻴﻨﻲﻫﺎ ﻭ ﻋﻘﺎﻳﺪ ﺧﻮﺩ ﺩﺭ ﺭﺍﺑﻄﻪ ﺑﺎ‬
‫ﻗﻴﻤﺖ ﺳﻬﺎﻡ ﻭ ﺍﺗﺨﺎﺫ ﺗﺼﻤﻴﻤﺎﺕ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﻱ ﺗﻨﻬﺎ ﺑﺮ ﭘﺎﻳﻪ ﺭﻓﺘﺎﺭ ﮐﻞ ﺑﺎﺯﺍﺭ ﻣﻲﺷﻮﺩ ]‪ .[۷‬ﺑﻪ‬
‫ﻋﺒﺎﺭﺕ ﺩﻳﮕﺮ‪ ،‬ﺭﻓﺘﺎﺭﻫﺎﻱ ﺍﺣﺴﺎﺳﻲ ﻭ ﺑﻌﻀﹰﺎ ﻏﻴﺮﻋﻘﻼﻳﻲ ﺗﻌﺪﺍﺩ ﺯﻳﺎﺩﻱ ﺍﺯ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﻧﺴﺒﺖ‬

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‫ﺑﻪ ﺻﻒﻫﺎﻱ ﺧﺮﻳﺪ ﻭ ﻓﺮﻭﺵ ﻭ ﺣﺮﮐﺖ ﺗﻮﺩﻩﻭﺍﺭ ﺁﻧﻬﺎ ﺑﻪ ﺗﺎﺳﻲ ﺍﺯ ﺍﻓﺮﺍﺩﻱ ﺍﺳﺖ ﮐﻪ ﺑﻪ ﮔﻤﺎﻥ‬
‫ﺁﻧﻬﺎ‪ ،‬ﺑﻪ ﺩﻟﻴﻞ ﺑﻬﺮﻩﻣﻨﺪﻱ ﺍﺯ ﺍﻃﻼﻋﺎﺕ ﻧﻬﺎﻧﻲ ﺑﻬﺘﺮﻳﻦ ﺯﻣﺎﻥ ﻭﺭﻭﺩ ﻭ ﺧﺮﻭﺝ ﺍﺯ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﺍﺑﻄﻪ ﺑﺎ‬

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‫ﺳﻬﺎﻡ ﺧﺎﺻﻲ ﺭﺍ ﺯﻭﺩﺗﺮ ﺍﺯ ﺳﺎﻳﺮ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺗﺸﺨﻴﺺ ﺩﺍﺩﻩﺍﻧﺪ‪.‬‬
‫ﻓﺮﺽ ﺑﺮ ﺍﻳﻦ ﺍﺳﺖ ﮐﻪ ﺑﺎ ﻭﺟﻮﺩ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ‪ ،‬ﺍﻓﺮﺍﺩ ﺑﺎﻭﺭﻫﺎﻱ ﺧﻮﺩ ﺭﺍ ﻧﺎﺩﻳﺪﻩ ﮔﺮﻓﺘﻪ ﻭ‬
‫ﺗﺼﻤﻴﻤﺎﺕ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﻱ ﺧﻮﺩ ﺭﺍ ﺻﺮﻓﹰﺎ ﺑﺮ ﺍﺳﺎﺱ ﺣﺮﻛﺎﺕ ﮔﺮﻭﻫﻲ ﺑﺎﺯﺍﺭ ﺍﺗﺨﺎﺫ ﻣﻲﻧﻤﺎﻳﻨﺪ‪.‬‬
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‫ﺑﻨﺎﺑﺮﺍﻳﻦ ﺭﻓﺘﺎﺭ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺑﻪ ﻧﺤﻮﻱ ﻫﺪﺍﻳﺖ ﻣﻲﺷﻮﺩ ﻛﻪ ﺍﺯ ﺑﺎﺯﺩﻩ ﻛﻞ ﺑﺎﺯﺍﺭ ﺍﻧﺤﺮﺍﻑ ﭘﻴﺪﺍ ﻧﻜﻨﺪ‪.‬‬
‫ﺑﺪﻳﻦ ﻣﻨﻈﻮﺭ ﺩﺭ ﺍﻳﻦ ﻣﻘﺎﻟﻪ‪ ،‬ﺍﻧﺤﺮﺍﻑ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﻓﻮﺍﺻﻞ ﺯﻣﺎﻧﻲ‬
‫ﺭﻭﺯﺍﻧﻪ‪ ،‬ﻫﻔﺘﮕﻲ ﻭ ﻣﺎﻫﺎﻧﻪ‪ ،‬ﺩﺭ ﮐﻞ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻭ ﻧﻴﺰ ﺩﺭ ﺧﻼﻝ ﺩﻭﺭﻩﻫﺎﻱ ﻧﻮﺳﺎﻧﺎﺕ‬
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‫ﺍﻓﺰﺍﻳﺸﻲ ﻳﺎ ﻛﺎﻫﺸﻲ ﺑﺎﺯﺍﺭ ﻣﻮﺭﺩ ﺗﺠﺰﻳﻪ ﻭ ﺗﺤﻠﻴﻞ ﻗﺮﺍﺭ ﮔﺮﻓﺘﻨﺪ‪.‬‬

‫ﺣﺎﻝ ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﺍﻫﻤﻴﺖ ﺑﺎﺯﺍﺭ ﺳﺮﻣﺎﻳﻪ ﺑﻪﻋﻨﻮﺍﻥ ﺯﻳﺮﻣﺠﻤﻮﻋﻪﺍﻱ ﺍﺯ ﻧﻈﺎﻡ ﻣﺎﻟﻲ ﻭ ﻧﻘﺶ ﺍﺳﺎﺳﻲ‬
‫ﺁﻥ ﺩﺭ ﺭﺍﺑﻄﻪ ﺑﺎ ﻫﺪﺍﻳﺖ ﻭ ﺗﺨﺼﻴﺺ ﭘﺲ ﺍﻧﺪﺍﺯ ﺑﻠﻨﺪﻣﺪﺕ ﺟﺎﻣﻌﻪ ﺑﻪ ﺳﻤﺖ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﻱ ﺩﺭ‬
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‫ﺍﻣﻮﺭ ﻣﻮﻟﺪ ﻭ ﺍﺷﺘﻐﺎﻝﺯﺍ ﻭ ﻧﻬﺎﻳﺘﹰﺎ ﺗﺎﺛﻴﺮ ﺁﻥ ﺑﺮ ﺍﻗﺘﺼﺎﺩ ﮐﻼﻥ ﮐﺸﻮﺭ‪ ،‬ﺣﺮﮐﺖ ﺑﻪ ﺳﻤﺖ ﺑﺮﺧﻮﺭﺩﺍﺭﻱ‬
‫ﺍﺯ ﺑﺎﺯﺍﺭﻱ ﮐﺎﺭﺍ‪ ،‬ﺣﺎﺋﺰ ﺍﻫﻤﻴﺖ ﻣﻲﺑﺎﺷﺪ‪ .‬ﺑﻪ ﻫﻤﻴﻦ ﺧﺎﻃﺮ ﺁﮔﺎﻫﻲ ﺍﺯ ﭼﮕﻮﻧﮕﻲ ﺭﻓﺘﺎﺭ‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺩﺭ ﺍﻳﻦ ﻓﺮﺍﻳﻨﺪ ﻣﻌﺎﻣﻼﺗﻲ ﻳﮏ ﺿﺮﻭﺭﺕ ﺍﺟﺘﻨﺎﺏﻧﺎﭘﺬﻳﺮ ﺍﺳﺖ‪ .‬ﻫﺪﻑ ﺍﺻﻠﻲ‬
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‫ﺗﺤﻘﻴﻖ ﺣﺎﺿﺮ ﺷﻨﺎﺧﺖ ﻓﺮﺍﻳﻨﺪ ﺗﺼﻤﻴﻢﮔﻴﺮﻱ ﺳﺮﻣﺎﻳﻪﮔﺬﺭﺍﻥ ﺩﺭ ﺑﺎﺯﺍﺭ ﺑﻪ ﻣﻨﻈﻮﺭ ﺑﺮﺭﺳﻲ‬

‫ﺷﮑﻞﮔﻴﺮﻱ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﺩﺭ ﻃﻮﻝ ﺩﻭﺭﻩﻫﺎﻳﻲ ﺍﺳﺖ ﮐﻪ‬
‫ﺗﻐﻴﻴﺮﺍﺕ ﺷﺎﺧﺺ ﮐﻞ ﺑﺎﺯﺍﺭ ﺯﻳﺎﺩ ﺑﻮﺩﻩ ﻭ ﻧﻬﺎﻳﺘﹰﺎ ﺍﺗﺨﺎﺫ ﺭﺍﻫﮑﺎﺭﻫﺎﻳﻲ ﺟﻬﺖ ﮐﺎﻫﺶ ﺩﺍﺩﻥ ﺍﻳﻦﮔﻮﻧﻪ‬
‫ﻻ ﻣﻮﺿﻮﻉ ﻣﻮﺭﺩ ﻋﻼﻗﻪ ﺳﻴﺎﺳﺖﮔﺬﺍﺭﺍﻥ ﺑﺎﺯﺍﺭ ﺍﺳﺖ‪ ،‬ﺯﻳﺮﺍ‬
‫ﺭﻓﺘﺎﺭﻫﺎ ﻣﻲﺑﺎﺷﺪ‪ .‬ﭼﻨﻴﻦ ﺭﻓﺘﺎﺭﻱ ﻣﻌﻤﻮ ﹰ‬
‫ﻣﻲﺗﻮﺍﻧﺪ ﻣﻨﺠﺮ ﺑﻪ ﻭﺧﻴﻢ ﺷﺪﻥ ﻧﻮﺳﺎﻥﭘﺬﻳﺮﻱ ﺑﺎﺯﺩﻩﻫﺎ ﻭ ﺑﻪ ﺗﺒﻊ ﺁﻥ ﺑﻲﺛﺒﺎﺗﻲ ﺑﺎﺯﺍﺭﻫﺎﻱ ﻣﺎﻟﻲ )ﺑﻪ‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٢٨‬‬

‫ﻭﻳﮋﻩ ﺩﺭ ﺷﺮﺍﻳﻂ ﺑﺤﺮﺍﻧﻲ( ﺷﻮﺩ‪.‬‬

‫‪ .٢‬ﻣﺮﻭﺭﻱ ﺑﺮ ﺍﺩﺑﻴﺎﺕ ﻭ ﭘﻴﺸﻴﻨﻪ ﺗﺤﻘﻴﻖ‬

‫ﺗﺎﻛﻨﻮﻥ ﺗﺤﻘﻴﻘﺎﺕ ﺯﻳﺎﺩﻱ ﻧﺸﺎﻥ ﺩﺍﺩﻩﺍﻧﺪ ﻛﻪ ﻣﺮﺩﻡ ﺑﻪ ﺷﺪﺕ ﺗﺤﺖ ﺗﺎﺛﻴﺮ ﻣﺤﻴﻂ ﺍﻃﺮﺍﻑ ﺧـﻮﺩ‬
‫ﻗﺮﺍﺭ ﻣﻲﮔﻴﺮﻧﺪ‪ ،‬ﺑﻪ ﺧﺼﻮﺹ ﺩﺭ ﻣﻮﺍﻗﻊ ﺑﺮﻭﺯ ﺑﺤﺮﺍﻥ‪ ،‬ﻗﻀﺎﻭﺕﻫﺎﻱ ﺍﻓـﺮﺍﺩ ﻣﺘـﺎﺛﺮ ﺍﺯ ﺍﺟﺘﻤـﺎﻉ ﺁﻧﻬـﺎ‬
‫ﺍﺳﺖ‪ .‬ﺗﺼﻮﺭ ﻣﻲﺷﻮﺩ ﻫﺮﮔﺎﻩ ﮔﺮﻭﻩ ﺑﺰﺭﮔﻲ ﺍﺯ ﻣﺮﺩﻡ ﺩﺭ ﻗﻀﺎﻭﺕﻫﺎﻳﺸﺎﻥ ﻫـﻢﺭﺍﻱ ﻫـﺴﺘﻨﺪ‪ ،‬ﭘـﺲ‬
‫ﻣﻄﻤﺌﻨﹰﺎ ﺩﺭﺳﺖ ﻋﻤﻞ ﻣﻲﻛﻨﻨﺪ‪ .‬ﺑﻨﺎﺑﺮﺍﻳﻦ ﺍﻓﺮﺍﺩ ﺩﺭ ﺗﺼﻤﻴﻢﮔﻴﺮﻱﻫﺎ ﺍﺯ ﺳﺎﻳﺮﻳﻦ ﺗﺒﻌﻴﺖ ﻣـﻲﻛﻨﻨـﺪ ﻭ‬
‫ﺩﺭ ﭼﻨﻴﻦ ﺷﺮﺍﻳﻄﻲ ﺗﻮﺩﻩﺍﻱ ﺍﺯ ﺍﻓﺮﺍﺩ ﺑﺎ ﺭﻓﺘﺎﺭﻫﺎﻱ ﻣﺸﺎﺑﻪ ﺷﻜﻞ ﻣﻲﮔﻴﺮﺩ‪.‬‬

‫‪D‬‬
‫ﺑﻪﻃﻮﺭ ﻣﻌﻤﻮﻝ ﻧﻘﺶ ﺗﻮﺩﻩﻫﺎ ﺩﺭ ﺧﻼﻝ ﺑﺤﺮﺍﻥﻫﺎﻱ ﻣﺎﻟﻲ ﺑﻪ ﺷﺪﺕ ﺑﻪ ﭼﺸﻢ ﻣﻲﺁﻳﺪ‪ .‬ﺑﻪﻋﺒﺎﺭﺕ‬
‫ﺩﻳﮕــﺮ‪ ،‬ﺳــﺮﻣﺎﻳﻪﮔــﺬﺍﺭﺍﻥ‪ ،‬ﻣــﺪﻳﺮﺍﻥ ﺳــﺮﻣﺎﻳﻪﮔــﺬﺍﺭﻱ ﻭ ﻳــﺎ ﺳــﺎﻳﺮ ﻣــﺸﺎﺭﻛﺖﻛﻨﻨــﺪﮔﺎﻥ ﺩﺭ ﺑــﺎﺯﺍﺭ‬

‫‪SI‬‬
‫ﺑﻪﺻﻮﺭﺕ ﺗﻮﺩﻩﻫﺎﻳﻲ ﺑﻪ ﺗﺼﻮﻳﺮ ﮐﺸﻴﺪﻩ ﻣﻲﺷﻮﻧﺪ ﮐﻪ ﺑﺪﻭﻥ ﺍﻃﻼﻋﺎﺕ ﮐﺎﻓﻲ ﻭ ﺩﺭﮎ ﻣﻨﺎﺳـﺐ ﺍﺯ‬
‫ﻣﻔﻬﻮﻡ ﺭﻳﺴﮏ‐ ﭘﺎﺩﺍﺵ ﺍﻗﺪﺍﻡ ﺑﻪ ﻣﻌﺎﻣﻼﺕ ﭘﺮﺭﻳﺴﮏ ﻛﺮﺩﻩ ﻭ ﺑﺎ ﺩﻳـﺪﻥ ﺍﻭﻟـﻴﻦ ﻧـﺸﺎﻧﻪﻫـﺎﻱ ﻋـﺪﻡ‬
‫ﺍﻃﻤﻴﻨــﺎﻥ ﻋﻘــﺐﻧــﺸﻴﻨﻲ ﻣــﻲﮐﻨﻨــﺪ‪ .‬ﺑﺮﺧــﻲ ﺗﺤﻘﻴﻘــﺎﺕ ﻧــﺸﺎﻥ ﺩﺍﺩﻩﺍﻧــﺪ ﮐــﻪ ﺭﻓﺘــﺎﺭ ﺗــﻮﺩﻩﻭﺍﺭ‬
‫‪of‬‬
‫ﻣﺸﺎﺭﮐﺖﮐﻨﻨﺪﮔﺎﻥ ﺩﺭ ﺑﺎﺯﺍﺭ‪ ،‬ﻧﻮﺳﺎﻧﺎﺕ ﻭ ﻋﺪﻡ ﺛﺒـﺎﺕ ﺩﺭ ﺑـﺎﺯﺍﺭ ﺭﺍ ﺗـﺸﺪﻳﺪ ﻛـﺮﺩﻩ ﻭ ﺷـﮑﻨﻨﺪﮔﻲ‬
‫ﺳﻴﺴﺘﻢ ﻣﺎﻟﻲ ﺭﺍ ﺍﻓﺰﺍﻳﺶ ﻣﻲﺩﻫﺪ ]‪.[۴‬‬
‫ﺑﻴﭽﺎﻧــﺪﻧﻲ ﻭ ﺷــﺮﻣﺎ‪ ،‬ﺭﻓﺘــﺎﺭ ﺗــﻮﺩﻩﻭﺍﺭ ﺭﺍ ﻗــﺼﺪ ﻭ ﻧﻴــﺖ ﺁﺷــﻜﺎﺭ ﺳــﺮﻣﺎﻳﻪﮔــﺬﺍﺭﺍﻥ ﺟﻬــﺖ‬
‫‪ive‬‬

‫ﮔﺮﺗﻪﺑﺮﺩﺍﺭﻱ ﻭ ﭘﻴﺮﻭﻱ ﺍﺯ ﺭﻓﺘﺎﺭ ﺳﺎﻳﺮ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺗﻌﺮﻳﻒ ﻛﺮﺩﻩﺍﻧﺪ‪ .‬ﺑﻨﺎﺑﺮﺍﻳﻦ‪ ،‬ﺍﻳﻦ ﺍﻣﺮ ﺑﺎﻳﺪ ﺍﺯ‬
‫»ﺗﻮﺩﻩﻭﺍﺭﻱ ﮐﺎﺫﺏ«‪ ،‬ﻳﻌﻨﻲ ﺷـﮑﻞﮔﻴـﺮﻱ ﺗـﻮﺩﻩﻭﺍﺭﻱ ﺯﻣﺎﻧﻴﮑـﻪ ﮔﺮﻭﻫـﻲ ﺍﺯ ﺍﻓـﺮﺍﺩ ﺑـﺎ ﺩﺭ ﺍﺧﺘﻴـﺎﺭ‬
‫ﺩﺍﺷﺘﻦ ﺍﻃﻼﻋﺎﺕ ﻣﺸﺎﺑﻬﻲ‪ ،‬ﺗﺼﻤﻴﻢ ﻳﮑﺴﺎﻧﻲ ﺍﺗﺨﺎﺫ ﻣـﻲﻧﻤﺎﻳﻨـﺪ‪ ،‬ﻣﺠـﺰﺍ ﺷـﻮﺩ‪ .‬ﭼﻨـﻴﻦ ﺗـﻮﺩﻩﻭﺍﺭﻱ‬
‫ﻧﺘﻴﺠﻪ ﮐﺎﺭﺍﻳﻲ ﺑﺎﺯﺍﺭ ﺍﺳﺖ‪ ،‬ﺩﺭﺣﺎﻟﻲﮐﻪ »ﺗﻮﺩﻩﻭﺍﺭﻱ ﻋﻤﺪﻱ« ﻟﺰﻭﻣﹰﺎ ﮐﺎﺭﺍ ﻧﻴﺴﺖ‪ .‬ﺍﻟﺒﺘﻪ ﺑﺎﻳـﺪ ﺧـﺎﻃﺮ‬
‫‪ch‬‬

‫ﻼ ﺗﻤﺎﻳﺰ ﻗﺎﺋﻞ ﺷﺪﻥ ﺑﻴﻦ ﺗﻮﺩﻩﻭﺍﺭﻱ ﮐﺎﺫﺏ ﻭ ﻋﻤﺪﻱ ﺑﻪﺭﺍﺣﺘﻲ ﻣﻤﮑـﻦ ﻧﻴـﺴﺖ‬
‫ﻧﺸﺎﻥ ﮐﺮﺩ ﮐﻪ ﻋﻤ ﹰ‬
‫]‪.[۴‬‬
‫‪Ar‬‬

‫ﺩﺭ ﺭﺍﺑﻄﻪ ﺑﺎ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﻭ ﺩﻳـﺪﮔﺎﻩ ﻣﺘﻔـﺎﻭﺕ ﻭﺟـﻮﺩ ﺩﺍﺭﺩ‪ (١ :‬ﺩﻳـﺪﮔﺎﻩ ﺭﻓﺘـﺎﺭ ﺗـﻮﺩﻩﻭﺍﺭ‬
‫ﻋﻘﻼﻳﻲ ﻭ ‪ (٢‬ﺩﻳﺪﮔﺎﻩ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﻏﻴﺮﻋﻘﻼﻳﻲ‪ .‬ﺭﻓﺘـﺎﺭ ﺗـﻮﺩﻩﻭﺍﺭ ﻏﻴﺮﻋﻘﻼﻳـﻲ ﺑـﺮ ﺭﻭﺍﻧـﺸﻨﺎﺳﻲ‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭ ﺗﻤﺮﮐﺰ ﺩﺍﺭﺩ‪ .‬ﺍﻋﺘﻘﺎﺩ ﺍﻳﻦ ﺩﻳﺪﮔﺎﻩ ﺑﺮ ﺍﻳﻦ ﺍﺳﺖ ﮐﻪ ﻣﺪﻳﺮﺍﻥ ﺑﺪﻭﻥ ﻣﺪﻧﻈﺮ ﻗـﺮﺍﺭ ﺩﺍﺩﻥ‬
‫ﺗﺠﺰﻳﻪ ﻭ ﺗﺤﻠﻴﻞﻫﺎﻱ ﻋﻘﻼﻳﻲ‪ ،‬ﺻﺮﻓﹰﺎ ﺑﻪ ﺗﻘﻠﻴﺪ ﮐﻮﺭﮐﻮﺭﺍﻧﻪ ﺍﺯ ﻳﮑﺪﻳﮕﺮ ﺭﻭﻱ ﻣﻲﺁﺭﻭﻧﺪ‪ ،‬ﺩﺭ ﻧﺘﻴﺠﻪ‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﻋﺎﻗﻞﺗﺮ ﻗﺎﺩﺭ ﺑﻪ ﮐﺴﺐ ﺳﻮﺩ ﺑﻴﺸﺘﺮﻱ ﺍﺯ ﺍﻳﻦ ﺭﻓﺘﺎﺭ ﻫـﺴﺘﻨﺪ ]‪ .[۷‬ﺑﺮﺧـﻲ ﭘﺪﻳـﺪﻩﻫـﺎ‬

‫‪www.SID.ir‬‬
‫‪٢٩‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫ﻣﺎﻧﻨﺪ ﺗﻐﻴﻴﺮ ﻗﻴﻤﺖ ﺳﻬﺎﻡ ﺩﺭ ﺑﺎﺯﺍﺭ ﺑﺪﻭﻥ ﺍﻧﺘﺸﺎﺭ ﻫﺮﮔﻮﻧﻪ ﺍﺧﺒﺎﺭ ﻗﺎﺑﻞ ﻗﺒﻮﻟﻲ‪ ،‬ﺣـﺎﮐﻲ ﺍﺯ ﺗـﻮﺩﻩﻭﺍﺭﻱ‬
‫ﻏﻴﺮﻋﻘﻼﻳﻲ ﺩﺭ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷﻨﺪ‪ .‬ﺩﺭ ﻣﻘﺎﺑﻞ ﺩﻳﺪﮔﺎﻩ ﺗﻮﺩﻩﻭﺍﺭﻱ ﻋﻘﻼﻳـﻲ‪ ،‬ﺑـﺮ ﺗـﺼﻤﻴﻤﺎﺕ ﺑﻬﻴﻨـﻪﺍﻱ‬
‫ﺗﻤﺮﮐﺰ ﺩﺍﺭﺩ ﮐﻪ ﺩﺭ ﺍﺛﺮ ﺍﺧﺘﻼﻻﺕ ﺍﻃﻼﻋﺎﺗﻲ ﻳﺎ ﻣﻮﺿﻮﻋﺎﺕ ﺍﻧﮕﻴﺰﺷﻲ ﺗﺨﺮﻳﺐ ﻣﻲﺷـﻮﻧﺪ‪ .‬ﺑـﺮﺍﻱ‬
‫ﻣﺜﺎﻝ ﺗﻮﺩﻩﻭﺍﺭﻱ ﻣﺒﺘﻨﻲ ﺑﺮ ﺣﺴﻦ ﺷﻬﺮﺕ )ﺗﺌـﻮﺭﻱ ﻧﻤﺎﻳﻨـﺪﮔﻲ( ﺣـﺎﻛﻲ ﺍﺯ ﺁﻥ ﺍﺳـﺖ‪ ،‬ﺯﻣـﺎﻧﻲﮐـﻪ‬
‫ﺑﺎﺯﺍﺭﻫﺎ ﺑﻪ ﻟﺤﺎﻅ ﮐﺎﺭﺍﻳﻲ ﺍﻃﻼﻋﺎﺗﻲ ﺩﺭ ﺳﻄﺢ ﺿﻌﻴﻔﻲ ﻫﺴﺘﻨﺪ‪ ،‬ﻣﺪﻳﺮﺍﻥ ﺑﻪ ﻣﻨﻈﻮﺭ ﮐـﺴﺐ ﺷـﻬﺮﺕ‬
‫ﻭ ﺣﻔﻆ ﺍﻋﺘﺒﺎﺭ ﺗﺮﺟﻴﺢ ﻣﻲﺩﻫﻨﺪ ﺑـﺮﺍﻱ ﺁﻧﻜـﻪ ﻗﺎﺑـﻞ ﺍﺭﺯﻳـﺎﺑﻲ ﻧﺒﺎﺷـﻨﺪ‪» ،‬ﺧـﻮﺩ ﺭﺍ ﺩﺭ ﭘـﺸﺖ ﺭﻓﺘـﺎﺭ‬
‫ﺗﻮﺩﻩﻭﺍﺭ‪ ،‬ﭘﻨﻬﺎﻥ ﻧﻤﺎﻳﻨﺪ« ]‪.[۱۱‬‬
‫ﺍﺯ ﺩﻳﺪﮔﺎﻩ ﻫﺮﺷـﻼﻳﻔﺮ ﻭ ﺗﺌـﻮ )‪ (٢٠٠١‬ﻭ ﺩﻣﻴـﺮﺭ ﻭ ﮐﻮﺗـﺎﻥ )‪ (٢٠٠٥‬ﻋﻮﺍﻣـﻞ ﺩﻳﮕـﺮﻱ ﻧﻈﻴـﺮ‪،‬‬

‫‪D‬‬
‫ﺷــﻔﺎﻓﻴﺖ ﻭ ﺍﻃــﻼﻉﺭﺳــﺎﻧﻲ ﺩﺭ ﺑــﺎﺯﺍﺭ‪ ،‬ﭼــﺎﺭﭼﻮﺏ ﻗــﺎﻧﻮﻧﻲ ﺿــﻌﻴﻒ ﻭ ﻧﺎﺭﺳــﺎ‪ ،‬ﺟــﺎﻳﮕﺰﻳﻦﻫــﺎﻱ‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﻱ ﺍﻧﺪﻙ ﺑﺮﺍﻱ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ‪ ،‬ﺗﻤﺎﻳﻞ ﺑﻪ ﺳـﻔﺘﻪﺑـﺎﺯﻱ ﺩﺭ ﺑـﺎﺯﺍﺭ ﺳـﻬﺎﻡ ﻭ ﺩﺭ ﻧﺘﻴﺠـﻪ‬

‫‪SI‬‬
‫ﻧﻮﺳﺎﻧﺎﺕ ﺯﻳﺎﺩ ﺩﺭ ﺑﺎﺯﺍﺭ‪ ،‬ﺣﻀﻮﺭ ﮐﻤﺮﻧﮓ ﺳﻬﺎﻣﺪﺍﺭﺍﻥ ﺣﻘﻴﻘـﻲ ﻭ ﺣـﻀﻮﺭ ﭘـﺮ ﺭﻧـﮓ ﺩﻭﻟـﺖ ﺩﺭ‬
‫ﺑﺎﺯﺍﺭ‪ ،‬ﺗﺎﺛﻴﺮﭘﺬﻳﺮﻱ ﺯﻳﺎﺩ ﺑﺎﺯﺍﺭ ﺍﺯ ﺗﺤﻮﻻﺕ ﺳﻴﺎﺳﻲ ﻭ ‪ ...‬ﺑﺮ ﺍﺣﺘﻤﺎﻝ ﺗـﺸﮑﻴﻞ ﺗـﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺑـﺎﺯﺍﺭ‬
‫ﻣﻲﺍﻓﺰﺍﻳﻨﺪ ]‪ [۶‬ﻭ ]‪.[۸‬‬
‫‪of‬‬
‫ﺩﺭ ﺧﺼﻮﺹ ﺷﮑﻞﮔﻴﺮﻱ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﺭ ﺑﺎﺯﺍﺭﻫﺎﻱ ﻣﺎﻟﻲ ﺗﺤﻘﻴﻘﺎﺕ ﻣﺘﻌﺪﺩﻱ ﺍﻧﺠﺎﻡ‬
‫ﮔﺮﻓﺘﻪ ﺍﺳﺖ ﮐﻪ ﻫﺮ ﻳﮏ ﺭﻭﺵﺷﻨﺎﺳﻲ ﺧﺎﺹ ﺧﻮﺩ ﺭﺍ ﺩﺍﺷﺘﻪﺍﻧﺪ‪ .‬ﻛﺮﻳﺴﺘﻲ ﻭ ﻫﻮﺍﻧﮓ ﺩﺭ ﺳﺎﻝ‬
‫‪ ١٩٩٥‬ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﺭ ﺑﻮﺭﺱ ﺳﻬﺎﻡ ﻧﻴﻮﻳﻮﺭﮎ ﺭﺍ ﺍﺯ ﻃﺮﻳﻖ ﺗﻌﻴﻴﻦ ﺍﻧﺤﺮﺍﻑ ﻣﻌﻴﺎﺭ ﻣﻘﻄﻌﻲ ﺑﺎﺯﺩﻩ‬
‫‪ive‬‬

‫ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ‪ n‬ﺳﻬﻢ ﺩﺭ ﭘﺮﺗﻔﻮﻱ ﺑﺎﺯﺍﺭ‪ ،‬ﺩﺭ ﻃﻮﻝ ﺩﻭﺭﻩﻫﺎﻱ ﺗﻨﺶ ﺑﺎﺯﺍﺭ ﺑﺮﺭﺳﻲ ﻧﻤﻮﺩﻩ ﻭ ﻋﻨﻮﺍﻥ‬
‫ﮐﺮﺩﻧﺪ ﮐﻪ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﻋﺎﻣﻞ ﺗﻌﻴﻴﻦﮐﻨﻨﺪﻩ ﺑﺎﺯﺩﻩﻫﺎﻱ ﺳﻬﺎﻡ ﺩﺭ ﺯﻣﺎﻥ ﺗﻨﺶ ﺑﺎﺯﺍﺭ ﻧﻴﺴﺖ‪.‬‬
‫ﭼﺎﻧﮓ ﻭ ﭼﻨﮓ ﺩﺭ ﺳﺎﻝ ‪ ١٩٩٩‬ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺭﺍ ﺍﺯ ﻃﺮﻳﻖ ﺗﻌﻴﻴﻦ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ‬
‫‪ch‬‬

‫ﺑﺎﺯﺍﺭ ﻭ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺑﺎﺯﺩﻩ ﻣﻮﺭﺩ ﺍﻧﺘﻈﺎﺭ ﺳﻬﺎﻡ ﻭ ﺩﺭ ﻧﺘﻴﺠﻪ ﺭﻳﺴﮏ ﺳﻴﺴﺘﻤﺎﺗﻴﮏ ﺑﺎﺯﺩﻩ ﺷﺮﮐﺖﻫﺎ‬
‫ﻭ ﺭﻳﺴﮏ ﺳﻴﺴﺘﻤﺎﺗﻴﮏ ﭘﺮﺗﻔﻮﻱ ﺑﺎﺯﺍﺭ‪ ،‬ﺁﺯﻣﻮﻥ ﮐﺮﺩﻧﺪ ﻭ ﺑﻪ ﺷﻮﺍﻫﺪﻱ ﺍﺯ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺑﺎﺯﺍﺭﻫﺎﻱ‬
‫ﻧﻮﻇﻬﻮﺭ ﺩﺳﺖ ﻳﺎﻓﺘﻨﺪ‪ .‬ﺗﺎﻥ‪ ،‬ﭼﻴﺎﻧﮓ ﻭ ﻣﻴﺴﻮﻥ ﺩﺭ ﺳﺎﻝ ‪ ،٢٠٠٦‬ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺭﺍ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ‬
‫‪Ar‬‬

‫ﻳﮏ ﺭﮔﺮﺳﻴﻮﻥ ﺧﻄﻲ ﺑﺮﺍﻱ ﺗﻌﻴﻴﻦ ﺭﺍﺑﻄﻪ ﺑﻴﻦ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﻃﺮﻳﻖ ﺍﻧﺤﺮﺍﻑ ﻣﻌﻴﺎﺭ‬
‫ﻣﻄﻠﻖ ﺩﺍﺩﻩﻫﺎﻱ ﻣﻘﻄﻌﻲ ﺑﺎﺯﺩﻩ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ‪ ،‬ﺩﺭ ﺑﻮﺭﺱﻫﺎﻱ ﺷﺎﻧﮕﻬﺎﻱ ﻭ ﺷﻨﺰﻥ ﺁﺯﻣﻮﻥ‬
‫ﮐﺮﺩﻧﺪ ﻭ ﺑﻪ ﺷﻮﺍﻫﺪﻱ ﺍﺯ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﻫﺮ ﺩﻭ ﺑﻮﺭﺱ ﺩﺳﺖ ﻳﺎﻓﺘﻨﺪ‪ .‬ﻣﺮﺯﻫﺎﻱ ﻗﻠﻤﺮﻭ ﻣﺎﻟﻲ‬
‫ﺭﻓﺘﺎﺭﻱ ﺩﺭ ﺍﻳﺮﺍﻥ ﺗﺎﮐﻨﻮﻥ ﺑﺪﻗﺖ ﻣﻮﺭﺩ ﮐﻨﮑﺎﺵ ﻗﺮﺍﺭ ﻧﮕﺮﻓﺘﻪ ﻭ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﺑﺮﺍﻱ ﺍﻭﻟﻴﻦ ﺑﺎﺭ ﺩﺭ‬
‫ﻗﻠﻤﺮﻭ ﺷﻨﺎﺧﺖ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﻱ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﺑﻪ ﺍﻧﺠﺎﻡ ﻣﻲ ﺭﺳﺪ‪.‬‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٣٠‬‬

‫‪ .٣‬ﻣﻌﺮﻓﻲ ﺍﻟﮕﻮﻫﺎﻱ ﺗﺤﻘﻴﻖ‬

‫ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺑﺎﺯﺍﺭﻫﺎﻱ ﻣﺎﻟﻲ ﺍﺯ ﻃﺮﻳﻖ ﺍﻓﺮﺍﺩﻱ ﮐﻪ ﺗﺼﻤﻴﻤﺎﺕ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﻱ ﺧﻮﺩ ﺭﺍ ﺗﻨﻬﺎ‬
‫ﺑﺮﺍﺳﺎﺱ ﺍﻗﺪﺍﻣﺎﺕ ﺟﻤﻌﻲ ﺑﺎﺯﺍﺭ ﺍﺗﺨﺎﺫ ﻣﻲﻧﻤﺎﻳﻨﺪ‪ ،‬ﻣﺸﺨﺺ ﻣﻲﺷﻮﻧﺪ‪ .‬ﺑﻪ ﺑﻴﺎﻥ ﺩﻳﮕﺮ‪،‬‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﻪ ﺳﻤﺖ ﺍﺟﻤﺎﻉ ﮐﻞ ﺑﺎﺯﺍﺭ ﺗﻤﺎﻳﻞ ﺩﺍﺭﻧﺪ ﻭ ﺗﺼﻤﻴﻤﺎﺗﻲ ﻣﺸﺎﺑﻪ ﮐﻞ ﺑﺎﺯﺍﺭ ﺍﺗﺨﺎﺫ‬
‫ﻣﻲﻧﻤﺎﻳﻨﺪ ﻭ ﺍﻳﻦ ﻣﺴﺎﻟﻪ ﺍﺷﺎﺭﻩ ﺑﺮ ﺁﻥ ﺩﺍﺭﺩ ﮐﻪ‪ ،‬ﺍﻧﺤﺮﺍﻑ ﺑﺎﺯﺩﻩ ﻫﺮ ﺳﻬﻢ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺯﻳﺎﺩ‬
‫ﻧﺨﻮﺍﻫﺪ ﺑﻮﺩ‪ .‬ﺩﺭ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﺟﻬﺖ ﺁﺯﻣﻮﻥ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺍﺯ ﺩﻭ ﻣﺪﻝ ﺍﺳﺘﻔﺎﺩﻩ ﺷﺪﻩ ﺍﺳﺖ‪ .‬ﻣﺪﻝ‬
‫ﺍﻭﻝ‪ ،‬ﻛﻪ ﺍﻭﻟﻴﻦ ﺑﺎﺭ ﺗﻮﺳﻂ ﮐﺮﻳﺴﺘﻲ ﻭ ﻫﻮﺍﻧﮓ )ﻣﻌﺮﻭﻑ ﺑﻪ ﻣﺪﻝ ‪ (CH‬ﺩﺭ ﺳﺎﻝ ‪ ١٩٩٥‬ﺩﺭ‬
‫ﺁﻣﺮﻳﻜﺎ ﻣﻌﺮﻓﻲ ﺷﺪ ﻭ ﻣﺪﻝ ﺗﺎﻥ ﻛﻪ ﺩﺭ ﺳﺎﻝ ‪ ٢٠٠٦‬ﺩﺭ ﭼﻴﻦ ﻣﻮﺭﺩ ﺍﺳﺘﻔﺎﺩﻩ ﻗﺮﺍﺭ ﮔﺮﻓﺖ‪.‬‬

‫‪D‬‬
‫‪ .٣‐١‬ﻣﺪﻝ ‪CH‬‬

‫‪SI‬‬
‫ﻣﺪﻝ ﮐﺮﻳﺴﺘﻲ ﻭ ﻫﻮﺍﻧﮓ )‪ (١٩٩٥‬ﺑﺮﺍﻱ ﮐﺸﻒ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﺭ ﺑﺎﺯﺍﺭ ﺳﺮﻣﺎﻳﻪ‪ ،‬ﺑﺮ‬
‫ﺑﺎﺯﺩﻩﻫﺎﻱ ﺳﻬﺎﻡ ﻭ ﮐﻞ ﺑﺎﺯﺍﺭ ﺗﻤﺮﮐﺰ ﻧﻤﻮﺩﻩ ﺍﺳﺖ‪ CH .‬ﻣﻄﺮﺡ ﮐﺮﺩﻩﺍﻧﺪ ﮐﻪ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ‬
‫ﻣﻲﺗﻮﺍﻧﺪ ﺧﻮﺩ ﺭﺍ ﺩﺭ ﺩﺍﺩﻩﻫﺎﻱ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺁﺷﮑﺎﺭ ﻧﻤﺎﻳﺪ‪ .‬ﺑﻪ ﻧﻈﺮ ﺁﻧﻬﺎ‪ ،‬ﺍﺯ ﺁﻧﺠﺎﻳﻲﮐﻪ‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺟﻬﺖ ﺍﺗﺨﺎﺫ ﺗﺼﻤﻴﻤﺎﺕ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﻱ ﺑﻪ ﭘﻴﺮﻭﻱ ﺍﺯ ﺍﺟﻤﺎﻉ ﮐﻞ ﺑﺎﺯﺍﺭ ﮔﺮﺍﻳﺶ‬
‫‪of‬‬
‫ﺩﺍﺭﻧﺪ‪ ،‬ﻣﻲﺗﻮﺍﻥ ﺍﻧﺘﻈﺎﺭ ﺩﺍﺷﺖ ﺍﻧﺤﺮﺍﻑ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﮐﻢ ﺑﺎﺷﺪ‪ .‬ﺍﺯ‬
‫ﻻ ﺗﻤﺎﻳﻞ ﺍﻓﺮﺍﺩ ﺑﻪ ﺳﺮﮐﻮﺏ‬
‫ﻃﺮﻓﻲ ﺑﻪ ﻋﻘﻴﺪﻩ ﺁﻧﻬﺎ‪ ،‬ﺩﺭ ﺯﻣﺎﻥ ﻧﻮﺳﺎﻧﺎﺕ ﻏﻴﺮﻋﺎﺩﻱ ﺑﺎﺯﺍﺭ ﺍﺣﺘﻤﺎ ﹰ‬
‫ﮐﺮﺩﻥ ﻋﻘﺎﻳﺪ ﺷﺨﺼﻲ ﻭ ﭘﻴﺮﻭﻱ ﺍﺯ ﺍﺟﻤﺎﻉ ﺑﺎﺯﺍﺭ ﺍﻓﺰﺍﻳﺶ ﻣﻲﻳﺎﺑﺪ‪ .‬ﺑﻨﺎﺑﺮﺍﻳﻦ ﺍﺣﺘﻤﺎﻝ ﺷﮑﻞﮔﻴﺮﻱ‬
‫‪ive‬‬

‫ﺗﻮﺩﻩﻭﺍﺭﻱ ﺯﻣﺎﻧﻲﮐﻪ ﺑﺎﺯﺩﻩﻫﺎﻱ ﻏﻴﺮﻋﺎﺩﻱ ﺩﺭ ﭘﺮﺗﻔﻮﻱ ﺑﺎﺯﺍﺭ ﺭﺥ ﻣﻲﺩﻫﺪ‪ ،‬ﺑﻴﺸﺘﺮ ﺍﺳﺖ‪ .‬ﺍﻟﺒﺘﻪ ﺁﻧﻬﺎ‬
‫ﺍﺫﻋﺎﻥ ﺩﺍﺷﺘﻨﺪ‪ ،‬ﺳﻄﺢ ﺍﻧﺤﺮﺍﻓﺎﺕ ﭘﺎﻳﻴﻦ ﺑﻪ ﺧﻮﺩﻱ ﺧﻮﺩ ﻭﺟﻮﺩ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺭﺍ ﺗﻀﻤﻴﻦ‬
‫ﻧﻤﻲﻧﻤﺎﻳﺪ‪ .‬ﺑﺮﺍﻱ ﻣﺜﺎﻝ‪ ،‬ﻓﻘﺪﺍﻥ ﺍﻃﻼﻋﺎﺕ ﺟﺪﻳﺪ ﻃﻲ ﻓﻮﺍﺻﻞ ﻣﻌﺎﻣﻼﺗﻲ ﻧﻴﺰ ﻣﻲﺗﻮﺍﻧﺪ ﺳﺒﺐ‬
‫‪ch‬‬

‫ﺍﻧﺤﺮﺍﻓﺎﺕ ﭘﺎﻳﻴﻦ ﮔﺮﺩﺩ‪.‬‬

‫‪ CH‬ﺑﺮﺍﻱ ﺁﺯﻣﻮﻥ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺍﺯ ﻣﻌﺎﺩﻟﻪ ﺭﮔﺮﺳﻴﻮﻥ )‪ (١‬ﺍﺳﺘﻔﺎﺩﻩ ﮐﺮﺩﻧﺪ‪ ،‬ﺗﺎ ﺩﺭﻳﺎﺑﻨﺪ ﺳﻄﺢ‬
‫‪Ar‬‬

‫ﺍﻧﺤﺮﺍﻑ ﺑﺎﺯﺩﻩ ﻫﺮ ﺳﻬﻢ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﺩﺭ ﺯﻣﺎﻥ ﺗﻨﺶ ﺑﺎﺯﺍﺭ‪ ،‬ﮐﺎﻫﺶ ﻳﺎﻓﺘﻪ ﺍﺳﺖ ﻳﺎ ﺧﻴﺮ‪.‬‬
‫ﺑﻨﺎﺑﺮﺍﻳﻦ ﺁﻧﻬﺎ ﺍﺯ ﺩﻭ ﻣﺘﻐﻴﺮ ﻣﻮﻫﻮﻣﻲ ﺍﺳﺘﻔﺎﺩﻩ ﻧﻤﻮﺩﻧﺪ‪ ،‬ﮐﻪ ﻣﺮﺑﻮﻁ ﺑﻪ ﺩﻭﺭﺍﻥ ﺭﮐﻮﺩ ﻭ ﺭﻭﻧﻖ ﺑﺎﺯﺍﺭ‬
‫ﻣﻲﺑﺎﺷﺪ‪ .‬ﺑﻪ ﻋﺒﺎﺭﺕ ﺩﻳﮕﺮ ﺳﻄﺢ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺭﺍ ﻣﺘﻐﻴﺮﻱ ﻭﺍﺑﺴﺘﻪ ﺑﻪ ﺯﻣﺎﻥ ﺗﻨﺶ ﺑﺎﺯﺍﺭ ﺩﺍﻧﺴﺘﻨﺪ‪.‬‬

‫‪CSSDt = α + β L DtL + β U DtU + ε t‬‬ ‫ﻣﻌﺎﺩﻟﻪ )‪(١‬‬

‫‪www.SID.ir‬‬
‫‪٣١‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫‪ : CSSDt‬ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﻫﺮ ﺳﻬﻢ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪ t‬ﻣﻲﺑﺎﺷﺪ‪.‬‬

‫‪ : DtL‬ﻣﺘﻐﻴﺮ ﻣﻮﻫﻮﻣﻲ ﺑﺮﺍﻱ ﺟﺬﺏ ﻧﻮﺳﺎﻧﺎﺕ ﻏﻴﺮ ﻋﺎﺩﻱ ﮐﺎﻫﺸﻲ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ‪.‬‬
‫‪ ، DtL = 1‬ﺍﮔﺮ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪ t‬ﻭﺍﻗﻊ ﺑﺮ ﺣﺪ ﭘﺎﻳﻴﻦ ﺗﻮﺯﻳﻊ ﻧﺮﻣﺎﻝ ﺑﺎﺯﺩﻩ ﺑﺎﺷﺪ ﻭ ﺩﺭ‬
‫ﻏﻴﺮﺍﻳﻦ ﺻﻮﺭﺕ ﺑﺮﺍﺑﺮ ﺻﻔﺮ ﺍﺳﺖ‪.‬‬
‫‪ : DtU‬ﻣﺘﻐﻴﺮ ﻣﻮﻫﻮﻣﻲ ﺑﺮﺍﻱ ﺟﺬﺏ ﻧﻮﺳﺎﻧﺎﺕ ﻏﻴﺮ ﻋﺎﺩﻱ ﺍﻓﺰﺍﻳﺸﻲ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ‪.‬‬
‫‪ ، DtU = 1‬ﺍﮔﺮ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪ t‬ﻭﺍﻗﻊ ﺑﺮ ﺣﺪ ﺑﺎﻻﻱ ﺗﻮﺯﻳﻊ ﻧﺮﻣﺎﻝ ﺑﺎﺯﺩﻩ ﺑﺎﺷﺪ ﻭ ﺩﺭ‬
‫ﻏﻴﺮﺍﻳﻦ ﺻﻮﺭﺕ ﺑﺮﺍﺑﺮ ﺻﻔﺮ ﺍﺳﺖ‪.‬‬
‫ﺿﺮﻳﺐ ‪ : α‬ﺣﺎﮐﻲ ﺍﺯ ﺍﻧﺤﺮﺍﻑ ﻣﺘﻮﺳﻂ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ‪ ،‬ﺩﺭ ﻣﺤﺪﻭﺩﻩﺍﻱ ﺍﺳﺖ ﮐﻪ ﺗﻮﺳﻂ ﺩﻭ‬

‫‪D‬‬
‫ﻣﺘﻐﻴﺮ ﻣﻮﻫﻮﻣﻲ ﭘﻮﺷﺶ ﺩﺍﺩﻩ ﻧﻤﻲﺷﻮﺩ‪.‬‬
‫ﺟﻬﺖ ﻣﺤﺎﺳﺒﻪ ﻣﺘﻐﻴﺮﻫﺎﻱ ﻣﻮﻫﻮﻣﻲ‪ ،‬ﺍﺯ ﻃﺮﻳﻖ ﻓﺮﻣـﻮﻝ ‪ ، Z α = x − µ‬ﺗﻮﺯﻳـﻊ ﻣﺘﻐﻴـﺮ ‪ x‬ﮐـﻪ‬
‫‪σ‬‬

‫) ‪x1 = µ + ( Z α × σ‬‬
‫‪2‬‬
‫‪2‬‬

‫‪SI‬‬
‫ﻫﻤﺎﻥ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷﺪ‪ ،‬ﺗﺒﺪﻳﻞ ﺑﻪ ﺗﻮﺯﻳﻊ ﻧﺮﻣﺎﻝ ﺍﺳﺘﺎﻧﺪﺍﺭﺩ ﻣﻲﮔﺮﺩﺩ‪.‬‬
‫‪of‬‬
‫) ‪x2 = µ − (Z α × σ‬‬
‫‪2‬‬

‫ﺑﺮﺍﻱ ﺗﻌﻴﻴﻦ ﻣﺘﻐﻴﺮﻫﺎﻱ ﻣﻮﻫﻮﻣﻲ ‪ Dtu‬ﻭ ‪ ، Dtl‬ﺑﻪ ﺗﺮﺗﻴﺐ ﺑﻪ ﻣﻘﺎﺩﻳﺮ ﺑﻴﺸﺘﺮ ﺍﺯ ‪ x1‬ﺍﺭﺯﺵ ﻳﮏ‬
‫‪ive‬‬

‫ﻭ ﺑﻪ ﻣﻘﺎﺩﻳﺮ ﮐﻤﺘﺮ ﺍﺯ ﺁﻥ ﻋﺪﺩ ﺻﻔﺮ ﻭ ﺑﻪ ﻣﻘﺎﺩﻳﺮ ﮐﻤﺘﺮ ﺍﺯ ‪ x 2‬ﺍﺭﺯﺵ ﻳﮏ ﻭ ﺑﻪ ﻣﻘﺎﺩﻳﺮ ﺑﻴﺸﺘﺮ ﺍﺯ‬
‫ﺁﻥ ﻋﺪﺩ ﺻﻔﺮ ﺍﺧﺘﺼﺎﺹ ﺩﺍﺩﻩ ﻣﻲﺷﻮﺩ‪ ،‬ﮐﻪ ﺍﻋﺪﺍﺩ ﻳﮏ ﺑﻴﺎﻧﮕﺮ ﺭﻭﺯﻫﺎﻳﻲ ﺍﺳﺖ ﮐﻪ ﺩﺭ ﺁﻥ ﺑﺎﺯﺍﺭ‬
‫ﺑﺎﺯﺩﻫﻲ ﻏﻴﺮﻋﺎﺩﻱ ﺩﺍﺷﺘﻪ ﺍﺳﺖ ]‪.[۵‬ﮐﺮﻳﺴﺘﻲ ﻭ ﻫﻮﺍﻧﮓ‪ ،‬ﺑﻴﺸﺘﺮﻳﻦ ﺣﺪ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ) ‪ α‬ﺩﺭ ‪( Z α‬‬
‫‪ch‬‬

‫‪2‬‬
‫ﺭﺍ ﻳﮏ ﺑﺎﺭ ﻳﮏ ﺩﺭﺻﺪ ﻭ ﺑﺎﺭ ﺩﻳﮕﺮ ﭘﻨﺞ ﺩﺭﺻﺪ ﺣﺪ ﺑﺎﻻ ﻳﺎ ﭘﺎﻳﻴﻦ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﻧﻈﺮ‬
‫ﮔﺮﻓﺘﻨﺪ‪ .‬ﻭﺟﻮﺩ ﺿﺮﺍﻳﺐ ‪ β l‬ﻣﻨﻔﻲ ﻭ ﺑﻪ ﻟﺤﺎﻅ ﺁﻣﺎﺭﻱ ﻣﻌﻨﻲﺩﺍﺭ )ﺩﺭ ﺭﺍﺑﻄﻪ ﺑﺎ ﺑﺎﺯﺍﺭ ﻛﺎﻫﺸﻲ( ﻭ‬
‫‪Ar‬‬

‫ﻭﺟﻮﺩ ‪ β U‬ﻣﻨﻔﻲ ﺑﻪ ﻟﺤﺎﻅ ﺁﻣﺎﺭﻱ ﻣﻌﻨﻲﺩﺍﺭ )ﺩﺭ ﺭﺍﺑﻄﻪ ﺑﺎ ﺑﺎﺯﺍﺭ ﺍﻓﺰﺍﻳﺸﻲ( ﺑﻴﺎﻧﮕﺮ ﺷﻜﻞﮔﻴﺮﻱ‬
‫ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺗﻮﺳﻂ ﻣﺸﺎﺭﻛﺖﻛﻨﻨﺪﮔﺎﻥ ﺩﺭ ﺑﺎﺯﺍﺭ ﺍﺳﺖ‪ ،‬ﺯﻳﺮﺍ ﺑﻴﺎﻧﮕﺮ ﺭﺍﺑﻄﻪﺍﻱ ﻣﻨﻔﻲ ﺑﻴﻦ ﺳﻄﺢ‬
‫ﺍﻧﺤﺮﺍﻓﺎﺕ )ﮐﻪ ﻣﺘﻐﻴﺮ ﻭﺍﺑﺴﺘﻪ ﺍﺳﺖ( ﻭ ﻧﻮﺳﺎﻧﺎﺕ ﺑﺎﺯﺍﺭ )ﺩﺭ ﻏﺎﻟﺐ ﻣﺘﻐﻴﺮﻫﺎﻱ ﻣﻮﻫﻮﻣﻲ( ﻣﻲﺑﺎﺷﺪ‪،‬‬
‫ﻳﻌﻨﻲ ﺩﺭ ﺯﻣﺎﻥ ﺗﻨﺶ ﺑﺎﺯﺍﺭ‪ ،‬ﺳﻄﺢ ﺍﻧﺤﺮﺍﻓﺎﺕ ﮐﺎﻫﺶ ﻳﺎﻓﺘﻪ ﺍﺳﺖ‪ .‬ﺑﻪ ﻫﻤﻴﻦ ﻣﻨﻈﻮﺭ‪ CH ،‬ﺑﺮﺍﻱ‬
‫ﻣﺤﺎﺳﺒﻪ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‪ ،‬ﺍﺯ ﺍﻧﺤﺮﺍﻑ ﻣﻌﻴﺎﺭ ﻣﻘﻄﻌﻲ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٣٢‬‬

‫ﺍﺳﺘﻔﺎﺩﻩ ﻧﻤﻮﺩﻧﺪ‪ ،‬ﮐﻪ ﻣﺘﻮﺳﻂ ﻧﺰﺩﻳﮑﻲ ﺑﺎﺯﺩﻩ ﻫﺮ ﺳﻬﻢ ﺑﻪ ﻣﻴﺎﻧﮕﻴﻦ ﺑﺎﺯﺍﺭ ﺭﺍ ﺗﻌﻴﻴﻦ ﻣﻲﻧﻤﺎﻳﺪ ﻭ ﺑﻪ‬
‫ﺷﺮﺡ ﺯﻳﺮ ﻣﺤﺎﺳﺒﻪ ﻣﻲﮔﺮﺩﺩ‪:‬‬

‫‪N‬‬

‫‪∑ (R‬‬ ‫‪i ,t‬‬ ‫‪− R m ,t ) 2‬‬

‫ﻣﻌﺎﺩﻟﻪ )‪(٢‬‬
‫= ‪CSSD t‬‬ ‫‪i =1‬‬

‫‪N −1‬‬

‫‪ : CSSDt‬ﺍﻧﺤﺮﺍﻑ ﻣﻌﻴﺎﺭ ﻣﻘﻄﻌﻲ ﺩﺍﺩﻩﻫﺎﻱ ﺑﺎﺯﺩﻩﻫﺎ ﺩﺭ ﺭﻭﺯ ‪t‬؛‬

‫‪ : Ri ,t‬ﺑﺎﺯﺩﻩ ﺳﻬﻢ ﺷﺮﻛﺖ ‪ i‬ﺩﺭ ﺭﻭﺯ ‪t‬؛‬
‫‪ : Rm,t‬ﻣﻴﺎﻧﮕﻴﻦ ‪ N‬ﺑﺎﺯﺩﻩ‪ ،‬ﺩﺭ ﭘﺮﺗﻔﻮﻱ ﮐﻞ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪t‬؛‬

‫‪D‬‬
‫‪ :N‬ﺗﻌــﺪﺍﺩ ﺷــﺮﻛﺖﻫــﺎﻱ ﻣﻮﺟــﻮﺩ ﺩﺭ ﭘﺮﺗﻔــﻮﻱ ﺍﻧﺘﺨــﺎﺑﻲ ﻛــﻪ ﺩﺭ ﺭﻭﺯ ‪ t‬ﻣــﻮﺭﺩ ﻣﻌﺎﻣﻠــﻪ ﻗــﺮﺍﺭ‬
‫ﮔﺮﻓﺘﻪﺍﻧﺪ‪.‬‬
‫ﺩﺭ ﺗﺨﻤﻴﻨﻲ ﺩﻳﮕﺮ‪ CH ،‬ﺑﺮﺍﻱ ﻣﺤﺎﺳﺒﻪ ﺍﻧﺤﺮﺍﻑ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ‪ ،‬ﺍﺯ‬

‫‪SI‬‬
‫ﻓﺮﻣﻮﻝ ﺍﻧﺤﺮﺍﻑ ﻣﻄﻠﻖ ﻛﻪ ﺩﺭ ﺍﺩﺍﻣﻪ ﺁﻭﺭﺩﻩ ﺷﺪﻩ ﺍﺳﺖ‪ ،‬ﺍﺳﺘﻔﺎﺩﻩ ﻧﻤﻮﺩﻧﺪ‪ ،‬ﻛﻪ ﺍﻟﺒﺘﻪ ﻣﺠﺪﺩﹰﺍ ﻫﻤﺎﻥ‬
‫ﻧﺘﺎﻳﺞ ﻗﺒﻠﻲ ﺣﺎﺻﻞ ﺷﺪ )ﮐﺮﻳﺴﺘﻲ ﻭ ﻫﻮﺍﻧﮓ‪.(١٩٩٥ ،‬‬
‫‪of‬‬
‫‪N‬‬
‫‪1‬‬
‫= ‪CASDt‬‬
‫‪N‬‬
‫‪∑R‬‬
‫‪i =1‬‬
‫‪i ,t‬‬ ‫‪− R m ,t‬‬
‫‪ive‬‬

‫‪ .٣‐٢‬ﻣﺪﻝ ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ‬

‫ﺍﺯ ﺁﻥ ﺟﺎﻳﻲ ﻛﻪ ﺗﺎ ﮐﻨﻮﻥ ﭘﮋﻭﻫﺸﻲ ﺩﺭ ﺣﻮﺯﻩ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﺩﺭ ﺧﺼﻮﺹ‬
‫ﺗﺸﺨﻴﺺ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺍﻧﺠﺎﻡ ﻧﮕﺮﻓﺘﻪ ﺍﺳﺖ‪ ،‬ﺑﺮ ﺁﻥ ﺷﺪﻳﻢ ﻓﺮﺿﻴﺎﺕ ﺗﺤﻘﻴﻖ ﺭﺍ ﺍﺯ ﻃﺮﻳﻖ ﺩﻭ ﻣﺪﻝ‬
‫ﺁﺯﻣﻮﻥ ﻧﻤﺎﻳﻴﻢ‪ ،‬ﺗﺎ ﺑﺎ ﺍﻃﻤﻴﻨﺎﻥ ﺑﻴﺸﺘﺮﻱ ﺩﺭ ﻣﻮﺭﺩ ﻧﺘﺎﻳﺞ ﺗﺤﻘﻴﻖ ﺑﺤﺚ ﺷﻮﺩ‪ .‬ﻣﺪﻝ ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ‬
‫‪ch‬‬

‫ﺩﺭ ﺳﺎﻝ ‪ ٢٠٠٦‬ﺩﺭ ﺑﻮﺭﺱﻫﺎﻱ ﺷﺎﻧﮕﻬﺎﻱ ﻭ ﺷﻨﺰﻥ ﺍﻧﺠﺎﻡ ﮔﺮﻓﺘﻪ ﮐﻪ ﺑﺮ ﺍﺳﺎﺱ ﺁﻥ ﺑﻪ ﺷﻮﺍﻫﺪﻱ ﺍﺯ‬
‫ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺳﺖ ﻳﺎﻓﺘﻨﺪ‪.‬‬
‫‪Ar‬‬

‫ﺍﻳﺪﻩ ﺍﺻﻠﻲ ﻣﺪﻝ ﮐﻪ ﻣﺮﺑﻮﻁ ﺑﻪ ﮐﺎﻫﺶ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺑﺎ‬
‫ﻓﺮﺽ ﻭﺟﻮﺩ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺍﺳﺖ‪ ،‬ﻫﻤﺎﻧﻨﺪ ﻣﺪﻝ ‪ CH‬ﻣﻲﺑﺎﺷﺪ‪ ،‬ﻭﻟﻲ ﺩﺭ ﺗﺨﻤﻴﻦ ﺭﮔﺮﺳﻴﻮﻥ ﺧﻄﻲ‬
‫ﺟﻬﺖ ﺁﺷﮑﺎﺭ ﻧﻤﻮﺩﻥ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺍﺯ ﺭﻭﺵ ﺩﻳﮕﺮﻱ ﺍﺳﺘﻔﺎﺩﻩ ﺷﺪﻩ ﺍﺳﺖ‪ .‬ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ ﻋﻘﻴﺪﻩ‬
‫ﺩﺍﺭﻧﺪ‪ ،‬ﺍﻳﺮﺍﺩﻱ ﮐﻪ ﺑﻪ ﺭﮔﺮﺳﻴﻮﻥ ‪ CH‬ﻭﺍﺭﺩ ﻣﻲﺑﺎﺷﺪ‪ ،‬ﺍﻳﻦ ﺍﺳﺖ ﮐﻪ ‪ CH‬ﺣﺪ ﻧﻬﺎﻳﻲ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ‬
‫ﺭﺍ ﺑﻪﺻﻮﺭﺕ ﺍﺧﺘﻴﺎﺭﻱ ﻳﮏ ﻭ ﭘﻨﺞ ﺩﺭﺻﺪ ﺩﺭ ﻧﻈﺮ ﮔﺮﻓﺘﻪﺍﻧﺪ‪ .‬ﺑﻪ ﻧﻈﺮ ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ‪ ،‬ﺩﺭ ﻋﻤﻞ‬

‫‪www.SID.ir‬‬
‫‪٣٣‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫ﻋﻘﻴﺪﻩ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺩﺭ ﻣﻮﺭﺩ ﺣﺪ ﻧﻬﺎﻳﻲ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻣﻲﺗﻮﺍﻧﺪ ﻣﺘﻔﺎﻭﺕ ﺍﺯ ﻳﮑﺪﻳﮕﺮ ﺑﺎﺷﺪ ﻭ‬
‫ﺑﺮﺩﺍﺷﺖ ﺁﻧﻬﺎ ﺍﺯ ﺣﺪ ﻧﻬﺎﻳﻲ ﻧﻮﺳﺎﻧﺎﺕ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﻃﻮﻝ ﺯﻣﺎﻥ ﺗﻐﻴﻴﺮ ﻧﻤﺎﻳﺪ‪ .‬ﻋﻼﻭﻩ ﺑﺮ ﺍﻳﻦ‪ ،‬ﻣﺪﻝ‬
‫‪ CH‬ﺻﺮﻓﺎ ﺑﻪ ﺩﻧﺒﺎﻝ ﮐﺸﻒ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺯﻣﺎﻥ ﻧﻮﺳﺎﻧﺎﺕ ﻏﻴﺮﻋﺎﺩﻱ ﺑﺎﺯﺍﺭ ﺑﻮﺩ‪ ،‬ﺩﺭﺣﺎﻟﻴﮑﻪ ﺭﻓﺘﺎﺭ‬
‫ﺗﻮﺩﻩﻭﺍﺭ ﻣﻤﮑﻦ ﺍﺳﺖ ﺩﺭ ﻫﺮ ﻗﺴﻤﺖ ﺍﺯ ﻃﻮﻝ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﺭﺥ ﺩﻫﺪ ]‪.[۱۲‬‬
‫ﻣﻌﻴﺎﺭ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺗﻮﺳﻂ ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ ﻧﻴﺰ ﻗﺪﺭﻣﻄﻠﻖ ﺍﻧﺤﺮﺍﻑ‬
‫ﻣﻘﻄﻌﻲ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺑﻪ ﺷﺮﺡ ﻣﻌﺎﺩﻟﻪ ﺯﻳﺮ ﻣﻲﺑﺎﺷﺪ‪:‬‬

‫‪N‬‬
‫‪1‬‬
‫= ‪CASD t‬‬
‫‪N‬‬
‫‪∑R‬‬
‫‪i =1‬‬
‫‪i ,t‬‬ ‫‪− R m ,t‬‬ ‫ﻣﻌﺎﺩﻟﻪ )‪(٣‬‬

‫‪D‬‬
‫‪ : CASDt‬ﻗﺪﺭ ﻣﻄﻠﻖ ﺍﻧﺤﺮﺍﻑ ﻣﻘﻄﻌﻲ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪t‬؛‬
‫‪ : Ri ,t‬ﺑﺎﺯﺩﻩ ﺳﻬﻢ ﺷﺮﮐﺖ ‪ i‬ﺩﺭ ﺭﻭﺯ ‪t‬؛‬

‫‪SI‬‬
‫‪ : Rm,t‬ﻣﻴﺎﻧﮕﻴﻦ ﺑﺎﺯﺩﻩ ‪ N‬ﺳﻬﻢ ﺩﺭ ﭘﺮﺗﻔﻮﻱ ﮐﻞ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪t‬؛‬
‫‪ :N‬ﺗﻌــﺪﺍﺩ ﺷــﺮﻛﺖﻫــﺎﻱ ﻣﻮﺟــﻮﺩ ﺩﺭ ﭘﺮﺗﻔــﻮﻱ ﺍﻧﺘﺨــﺎﺑﻲ ﻛــﻪ ﺩﺭ ﺭﻭﺯ ‪ t‬ﻣــﻮﺭﺩ ﻣﻌﺎﻣﻠــﻪ ﻗــﺮﺍﺭ‬
‫ﮔﺮﻓﺘﻪﺍﻧﺪ‪.‬‬
‫‪of‬‬
‫ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ ﺟﻬﺖ ﮐﺸﻒ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﮐﻞ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺍﺯ ﻣﻌﺎﺩﻟﻪ ﺭﮔﺮﺳﻴﻮﻥ‬
‫ﺧﻄﻲ )‪ (٤‬ﺍﺳﺘﻔﺎﺩﻩ ﻧﻤﻮﺩﻧﺪ‪.‬‬
‫‪ive‬‬

‫‪CSADt = α + γ 1 Rm ,t + γ 2 Rm2 ,t + ε t‬‬ ‫ﻣﻌﺎﺩﻟﻪ )‪(٤‬‬

‫‪ : Rm ,t‬ﻗﺪﺭ ﻣﻄﻠﻖ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪t‬؛‬

‫‪ : ( Rm,t ) 2‬ﻣﺮﺑﻊ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪.t‬‬
‫‪ch‬‬

‫‪ : α‬ﻣﺘﻮﺳﻂ ﺳﻄﺢ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ‪ ،‬ﺩﺭ ﺑﺎﺯﺍﺭ ﺑﻲﺗﺤﺮﮎ‬

‫ﻫﻤﺎﻥﻃﻮﺭ ﮐﻪ ﭘﻴﺸﺘﺮ ﺫﮐﺮ ﺷﺪ‪ ،‬ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺭﺍ ﺗﻨﻬﺎ ﻣﻨﺤﺼﺮ ﺑﻪ ﺩﻭﺭﺍﻥ‬
‫‪Ar‬‬

‫ﺗﻨﺶ ﺑﺎﺯﺍﺭ ﻧﻤﻲﺩﺍﻧﻨﺪ‪.‬ﺁﻧﻬﺎ ﻋﻘﻴﺪﻩ ﺩﺍﺭﻧﺪ ﺯﻣﺎﻧﻲﻛﻪ ﻧﻮﺳﺎﻧﺎﺕ ﺑﺎﺯﺍﺭ ﻏﻴﺮﻋﺎﺩﻱ ﻧﻴﺴﺖ‪ ،‬ﺭﺍﺑﻄﻪﺍﻱ‬
‫ﺧﻄﻲ ﺑﻴﻦ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻭ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﭘﻴﺶﺑﻴﻨﻲ ﻣﻲﺷﻮﺩ‪ ،‬ﻛﻪ‬
‫ﺑﺮﺍﻱ ﺩﺭﻙ ﺁﻥ ﺍﺯ ﻣﺘﻐﻴﺮ ﻣﺴﺘﻘﻞ ‪ Rm ,t‬ﺩﺭ ﻣﻌﺎﺩﻟﻪ ﺭﮔﺮﺳﻴﻮﻥ ﺍﺳﺘﻔﺎﺩﻩ ﺷﺪ‪.‬‬
‫ﻭﺟﻮﺩ ﻣﻘﺪﺍﺭ ﻣﺜﺒﺖ ﻭ ﻣﻌﻨﻲﺩﺍﺭ ‪ γ 1‬ﻧﺸﺎﻥﺩﻫﻨﺪﻩ ﺍﻓﺰﺍﻳﺶ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﺍﺯ‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٣٤‬‬

‫ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻃﻲ ﺩﻭﺭﺍﻥ ﺷﺮﺍﻳﻂ ﻋﺎﺩﻱ ﺑﺎﺯﺍﺭ )ﻧﺸﺎﻥﺩﻫﻨﺪﻩ ﺭﺍﺑﻄﻪ ﻣﺜﺒﺖ ﺧﻄﻲ( ﻣﻲﺑﺎﺷﺪ‪ .‬ﺍﺯ ﻃﺮﻓﻲ‬
‫ﺗﺎﻥ ﻭ ﻫﻤﻜﺎﺭﺍﻥ ﻋﻘﻴﺪﻩ ﺩﺍﺭﻧﺪ ﻛﻪ ﺩﺭ ﻃﻮﻝ ﺩﻭﺭﻩﻫﺎﻱ ﻧﻮﺳﺎﻧﺎﺕ ﺑﺰﺭﮒ ﺩﺭ ﺑﺎﺯﺍﺭ )ﻛﻪ ﺍﺣﺘﻤﺎﻝ‬
‫ﺗﺸﻜﻴﻞ ﺗﻮﺩﻩ ﺣﻮﻝ ﺍﺟﻤﺎﻉ ﻛﻞ ﺑﺎﺯﺍﺭ ﺑﻴﺸﺘﺮ ﺍﺳﺖ(‪ ،‬ﻭﺟﻮﺩ ﺭﺍﺑﻄﻪﺍﻱ ﻏﻴﺮﺧﻄﻲ ﺑﻴﻦ ﺍﻧﺤﺮﺍﻓﺎﺕ‬
‫ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﻭ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﭘﻴﺶﺑﻴﻨﻲ ﻣﻲﮔﺮﺩﺩ‪ .‬ﺑﺮﺍﻱ ﺁﺯﻣﻮﻥ ﺍﻳﻦ ﺭﺍﺑﻄﻪ‪ ( Rm ,t ) 2 ،‬ﺑﻪ‬
‫ﻣﻌﺎﺩﻟﻪ ﺭﮔﺮﺳﻴﻮﻥ ﺍﺿﺎﻓﻪ ﻣﻲﺷﻮﺩ‪ .‬ﺑﻨﺎﺑﺮﺍﻳﻦ ﻭﺟﻮﺩ ‪ γ 2‬ﻣﻨﻔﻲ ﻭ ﺑﻪ ﻟﺤﺎﻅ ﺁﻣﺎﺭﻱ ﻣﻌﻨﻲﺩﺍﺭ‬
‫)ﺿﺮﻳﺐ ﺗﻮﺩﻩﻭﺍﺭﻱ( ﺩﺭ ﺁﺯﻣﻮﻥ ﻧﺸﺎﻥﺩﻫﻨﺪﻩ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﺭ ﺑﺎﺯﺍﺭ ﺩﺭ ﺯﻣﺎﻥ ﺗﻨﺶ ﺑﺎﺯﺍﺭ‬
‫ﻣﻲﺑﺎﺷﺪ‪ ،‬ﺯﻳﺮﺍ ﺭﺍﺑﻄﻪﺍﻱ ﻣﻨﻔﻲ )ﻣﻌﻜﻮﺱ( ﻭ ﻏﻴﺮﺧﻄﻲ ﺑﻴﻦ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﻢ ﻭ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺭﺍ‬
‫ﺑﻪ ﺗﺼﻮﻳﺮ ﻣﻲﮐﺸﺪ ﻭ ﺑﻪ ﺍﻳﻦ ﻣﻌﻨﻲ ﺍﺳﺖ ﻛﻪ ﻧﻮﺳﺎﻧﺎﺕ ﺑﺎﻻﺗﺮ ﺩﺭ ﺑﺎﺯﺍﺭ ﻣﻨﺠﺮ ﺑﻪ ﻛﺎﻫﺶ ﺍﻧﺤﺮﺍﻓﺎﺕ‬

‫‪D‬‬
‫ﻣﻲﺷﻮﺩ‪ .‬ﺑﻪﻋﺒﺎﺭﺕ ﺩﻳﮕﺮ‪ ،‬ﻫﻤﺎﻥﻃﻮﺭ ﮐﻪ ﺑﺎﺯﺍﺭ ﺗﻐﻴﻴﺮﺍﺕ ﺑﺰﺭﮒ ﻗﻴﻤﺖ ﺭﺍ ﺗﺠﺮﺑﻪ ﻣﻲﻧﻤﺎﻳﺪ‪ ،‬ﺍﮔﺮ‬
‫ﻣﺸﺎﺭﮐﺖﮐﻨﻨﺪﮔﺎﻥ ﺩﺭ ﺑﺎﺯﺍﺭ ﺗﻤﺎﻳﻞ ﺑﻪ ﻧﺎﺩﻳﺪﻩ ﮔﺮﻓﺘﻦ ﺍﻃﻼﻋﺎﺕ ﺧﺼﻮﺻﻲ ﺧﻮﺩ ﻭ ﺗﺸﮑﻴﻞ ﺗﻮﺩﻩ‬

‫‪SI‬‬
‫ﺣﻮﻝ ﺍﻃﻼﻋﺎﺕ ﮔﺮﺩﺁﻣﺪﻩ ﺍﺯ ﺍﺟﻤﺎﻉ ﮐﻞ ﺑﺎﺯﺍﺭ ﺩﺍﺷﺘﻪ ﺑﺎﺷﻨﺪ‪ ،‬ﺭﺍﺑﻄﻪﺍﻱ ﻏﻴﺮﺧﻄﻲ ﺑﻴﻦ ﺍﻧﺤﺮﺍﻓﺎﺕ‬
‫ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﻭ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺑﻮﺟﻮﺩ ﺧﻮﺍﻫﺪ ﺁﻣﺪ‪ .‬ﺗﺤﺖ ﭼﻨﻴﻦ ﺷﺮﺍﻳﻄﻲ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬
‫ﺗﻤﺎﻳﻞ ﺑﻪ ﺳﻤﺖ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﭘﻴﺪﺍ ﻣﻲﮐﻨﺪ‪ .‬ﺍﺯ ﺁﻧﺠﺎﻳﻲﮐﻪ ﺟﻬﺖ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻣﻤﮑﻦ ﺍﺳﺖ ﺑﺮ ﺭﻓﺘﺎﺭ‬
‫‪of‬‬
‫ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺗﺎﺛﻴﺮ ﺑﮕﺬﺍﺭﺩ‪ ،‬ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ ﻋﺪﻡ ﺗﻘﺎﺭﻥﻫﺎﻱ ﻣﻤﮑﻦ ﺩﺭ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩ ﺭﺍ‬
‫ﻣﺸﺮﻭﻁ ﺑﻪ ﺍﻳﻨﮑﻪ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺭﺷﺪ ﺍﺳﺖ ﻳﺎ ﺭﻭ ﺑﻪ ﺍﻓﻮﻝ‪ ،‬ﺑﺮﺭﺳﻲ ﻧﻤﻮﺩﻧﺪ‪ .‬ﺑﻨﺎﺑﺮﺍﻳﻦ ﺁﻧﻬﺎ ﺭﮔﺮﺳﻴﻮﻥ‬
‫ﻣﻌﺎﺩﻟﻪ )‪ (٤‬ﺭﺍ ﺑﻄﻮﺭ ﺟﺪﺍﮔﺎﻧﻪ‪ ،‬ﻳﮏ ﺑﺎﺭ ﺑﺮﺍﻱ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻣﺜﺒﺖ ﻭ ﻳﮏ ﺑﺎﺭ ﺑﺮﺍﻱ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻣﻨﻔﻲ‬
‫ﺗﺨﻤﻴﻦ ﺯﺩﻧﺪ‪ .‬ﻫﻤﺎﻧﻨﺪ ﺣﺎﻟﺖ ﻗﺒﻞ ﻭﺟﻮﺩ ﺿﺮﻳﺐ ﻣﻨﻔﻲ ﺑﺮﺍﻱ ‪ γ 2up‬ﻭ ‪ γ 2down‬ﻭ ﺑﻪ ﻟﺤﺎﻅ ﺁﻣﺎﺭﻱ‬
‫‪ive‬‬

‫ﻣﻌﻨﻲﺩﺍﺭ ﻧﺸﺎﻥﺩﻫﻨﺪﻩ ﻭﺟﻮﺩ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺑﻴﻦ ﻣﺸﺎﺭﻛﺖﻛﻨﻨﺪﮔﺎﻥ ﺩﺭ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷﺪ )ﺗﺎﻥ‪ ،‬ﭼﻴﺎﻧﮓ‬
‫ﻭ ﻫﻤﮑﺎﺭﺍﻥ‪ .(٢٠٠٦ ،‬ﻣﻌﺎﺩﻻﺕ ﻣﺮﺑﻮﻁ ﺑﻪ ﺷﺮﺡ ﺯﻳﺮ ﻣﻲﺑﺎﺷﺪ‪:‬‬
‫‪ch‬‬

‫ﻣﻌﺎﺩﻟﻪ )‪ :(٥‬ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺭﺷﺪ‬

‫‪CSADtup = α + γ 1up Rmup,t + γ 2up ( Rmup,t ) 2 + ε t , if Rm ,t > 0‬‬

‫‪Ar‬‬

‫‪ : Rmup,t‬ﻣﻴﺎﻧﮕﻴﻦ ﺑﺎﺯﺩﻩ ‪ N‬ﺷﺮﮐﺖ ﺩﺭ ﺭﻭﺯ ‪ t‬ﺩﺭ ﭘﺮﺗﻔﻮﻱ ﮐﻞ ﺑﺎﺯﺍﺭ ﺯﻣﺎﻧﻴﮑﻪ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺭﺷﺪ‬
‫ﺍﺳﺖ؛‬
‫‪ : ( R ) 2‬ﻣﺮﺑﻊ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺯﻣﺎﻧﻲﮐﻪ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺭﺷﺪ ﺍﺳﺖ؛‬
‫‪up‬‬
‫‪m ,t‬‬

‫‪ CSAD : CSADtup‬ﺩﺭ ﺯﻣﺎﻥ ‪ t‬ﻣﺮﺗﺒﻂ ﺑﺎ ‪. Rmup,t‬‬

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‫‪٣٥‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫ﻣﻌﺎﺩﻟﻪ )‪ :(٦‬ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺍﻓﻮﻝ‬

‫‪CSADtdown = α + γ 1down Rmdown‬‬

‫‪,t‬‬ ‫‪+ γ 2down ( Rmdown‬‬
‫‪,t ) + ε t , if Rm ,t < 0‬‬
‫‪2‬‬

‫‪ : Rmdown‬ﻣﻴﺎﻧﮕﻴﻦ ﺑﺎﺯﺩﻩ ‪ N‬ﺷﺮﮐﺖ ﺩﺭ ﺭﻭﺯ ‪ t‬ﺩﺭ ﭘﺮﺗﻔﻮﻱ ﮐﻞ ﺑﺎﺯﺍﺭ ﺯﻣﺎﻧﻲﮐﻪ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ‬
‫‪,t‬‬

‫ﺍﻓﻮﻝ ﺍﺳﺖ؛‬
‫‪ : ( Rmdown‬ﻣﺮﺑﻊ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺯﻣﺎﻧﻲﮐﻪ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺍﻓﻮﻝ ﺍﺳﺖ‪،‬‬
‫) ‪,t‬‬
‫‪2‬‬

‫‪. Rmdown‬‬
‫‪,t‬‬ ‫‪ CSAD : CSADtdown‬ﺩﺭ ﺯﻣﺎﻥ ‪ t‬ﻣﺮﺗﺒﻂ ﺑﺎ‬

‫‪D‬‬
‫‪ .٤‬ﻓﺮﺿﻴﻪﻫﺎﻱ ﺗﺤﻘﻴﻖ‬
‫ﻓﺮﺿﻴﺎﺕ ﻻﺯﻡ ﺑﺮﺍﻱ ﺍﺟﺮﺍﻱ ﺍﻳﻦ ﺍﻟﮕﻮﻫﺎ ﻋﺒﺎﺭﺗﻨﺪ ﺍﺯ‪:‬‬

‫‪SI‬‬
‫‪ .١‬ﺩﺭ ﺻﻮﺭﺕ ﻭﺟﻮﺩ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ‪ ،‬ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ‬

‫‪ .٢‬ﺩﺭ ﺻﻮﺭﺗﻲ ﮐﻪ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﺯﻳﺎﺩ ﺑﺎﺷﺪ‪ ،‬ﺍﻧﺤﺮﺍﻓﺎﺕ ﺩﻭﺭﺍﻥ‬
‫ﺯﻳﺎﺩ ﻧﻴﺴﺖ‪.‬‬
‫‪of‬‬
‫ﺭﮐﻮﺩ ﺑﺎﺯﺍﺭ ﮐﻤﺘﺮ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺩﻭﺭﺍﻥ ﺭﻭﻧﻖ ﺍﺳﺖ‪.‬‬

‫‪ .٥‬ﻣﺘﻐﻴﺮﻫﺎﻱ ﺗﺤﻘﻴﻖ‬
‫‪ive‬‬

‫ﻣﺘﻐﻴﺮﻫﺎﻱ ﻣﻮﺭﺩ ﺍﺳﺘﻔﺎﺩﻩ ﺩﺭ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﺩﺭ ﻫﺮ ﺩﻭ ﻣﺪﻝ ‪ CH‬ﻭ ﺗﺎﻥ ﻣﺸﺘﺮﮎ ﻣﻲﺑﺎﺷﻨﺪ‪.‬‬
‫ﺟﻬﺖ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺑﺎﺯﺩﻩ ﺷﺮﮐﺖﻫﺎ ﻭ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻣﻮﺭﺩ ﺗﺠﺰﻳﻪ ﻭ ﺗﺤﻠﻴﻞ ﻗﺮﺍﺭ‬
‫ﻣﻲﮔﻴﺮﺩ‪ .‬ﺩﺭ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﺑﻪ ﺟﺎﻱ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﻣﻴﺎﻧﮕﻴﻦ ‪ N‬ﺑﺎﺯﺩﻩ ﺩﺭ ﭘﺮﺗﻔﻮﻱ ﮐﻞ ﺑﺎﺯﺍﺭ ﺩﺭ ﺭﻭﺯ ‪،t‬‬
‫ﺍﺯ ﺑﺎﺯﺩﻩ ﺷﺎﺧﺺ ﻗﻴﻤﺖ ﻭ ﺑﺎﺯﺩﻩ ﻧﻘﺪﻱ ﺍﺳﺘﻔﺎﺩﻩ ﺷﺪﻩ ﺍﺳﺖ‪ .‬ﺩﺍﺩﻩﻫﺎﻱ ﻣﺮﺗﺒﻂ ﺑﺎ ﻫﺮﻳﮏ ﺍﺯ‬
‫‪ch‬‬

‫ﺷﺮﮐﺖﻫﺎ ﺣﺎﻭﻱ ﺑﺎﺯﺩﻩ ﺭﻭﺯﺍﻧﻪ‪ ،‬ﻫﻔﺘﮕﻲ ﻭ ﻣﺎﻫﺎﻧﻪ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ‬
‫ﺗﻬﺮﺍﻥ ﻃﻲ ﺳﺎﻝﻫﺎﻱ ‪ ١٣٨٠‬ﺗﺎ ‪ ١٣٨٤‬ﻣﻲﺑﺎﺷﺪ‪ .‬ﻣﺘﻐﻴﺮﻫﺎﻱ ﻣﻮﺭﺩ ﺍﺳﺘﻔﺎﺩﻩ ﺑﻪ ﺷﺮﺡ ﺯﻳﺮ ﻣﺤﺎﺳﺒﻪ‬
‫‪Ar‬‬

‫ﻣﻲﮔﺮﺩﻧﺪ‪:‬‬

‫‪ .٥‐١‬ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺎﻣﻞ ﺩﻭ ﻗﺴﻤﺖ ﺍﺳﺖ ﮐﻪ ﻋﺒﺎﺭﺗﻨﺪ ﺍﺯ‪:‬‬

‫• ﺑﺎﺯﺩﻩ ﻧﺎﺷﻲ ﺍﺯ ﺳﻮﺩ ﺳﺮﻣﺎﻳﻪ ﻳﺎ ﺯﻳﺎﻥ ﺳﺮﻣﺎﻳﻪ‬
‫• ﺳﻮﺩ ﻧﻘﺪﻱ‪ ،‬ﺳﻬﺎﻡ ﺟﺎﻳﺰﻩ ﻭ ‪....‬‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٣٦‬‬

‫ﻧﺮﺥ ﺑﺎﺯﺩﻩ ﻳﮏ ﺳﻬﻢ ﻧﮕﻬﺪﺍﺭﻱ ﺷﺪﻩ ﺩﺭ ﻳﮏ ﺳﺎﻝ‪ ،‬ﺑﺮﺍﺑﺮ ﺍﺳـﺖ ﺑـﺎ ﻣﺠﻤـﻮﻉ ﺑـﺎﺯﺩﻩ ﻧﺎﺷـﻲ ﺍﺯ‬
‫ﺩﺭﻳﺎﻓﺖ ﺳﻮﺩ ﺳﻬﺎﻡ ﻭ ﺑﺎﺯﺩﻩ ﻧﺎﺷﻲ ﺍﺯ ﺳﻮﺩ ﺳﺮﻣﺎﻳﻪ ﻳﺎ ﺯﻳﺎﻥ ﺳﺮﻣﺎﻳﻪ‪ ،‬ﮐﻪ ﻣﻲﺗﻮﺍﻥ ﺁﻥ ﺭﺍ ﺑﻪ ﺻﻮﺭﺕ‬
‫ﺯﻳﺮ ﻧﺸﺎﻥ ﺩﺍﺩ‪:‬‬

‫) ‪Pit − Pit −1 ( Dit1 + Dit 2 + Dit 3 + Dit 4‬‬

‫= ‪Ri ,t‬‬ ‫‪+‬‬
‫‪Pit −1‬‬ ‫‪Pit −1‬‬

‫‪ .٥‐٢‬ﺑﺎﺯﺩﻩ ﺷﺎﺧﺺ ﻗﻴﻤﺖ ﻭ ﺑﺎﺯﺩﻩ ﻧﻘﺪﻱ ﺍﺯ ﻓﺮﻣﻮﻝ ﺯﻳﺮ ﻣﺤﺎﺳﺒﻪ ﻣﻲﮔﺮﺩﺩ‪:‬‬

‫‪Pt − Pt −1‬‬
‫= ‪R m ,t‬‬

‫‪D‬‬
‫‪Pt‬‬
‫‪ : Rm,t‬ﺑﺎﺯﺩﻩ ﺷﺎﺧﺺ ﻗﻴﻤﺖ ﻭ ﺑﺎﺯﺩﻩ ﻧﻘﺪﻱ؛‬
‫‪ : Pt‬ﺷﺎﺧﺺ ﻗﻴﻤﺖ ﻭ ﺑﺎﺯﺩﻩ ﻧﻘﺪﻱ ﺩﺭ ﺭﻭﺯ ‪t‬؛‬

‫‪SI‬‬
‫‪ : Pt −1‬ﺷﺎﺧﺺ ﻗﻴﻤﺖ ﻭ ﺑﺎﺯﺩﻩ ﻧﻘﺪﻱ ﺩﺭ ﺭﻭﺯ ‪.t-1‬‬

‫‪ .٥‐٣‬ﺟﻬﺖ ﻣﺤﺎﺳﺒﻪ ‪ Rmup,t‬ﻭ ‪ CSADtup‬ﺩﺭ ﻣﻌﺎﺩﻟﻪ )‪ (٥‬ﺍﺯ ﺑﺎﺯﺩﻩ ﺷﺎﺧﺺ ﻗﻴﻤﺖ ﻭ ﺳﻮﺩ‬
‫‪of‬‬
‫‪ Rmdown‬ﻭ ‪ CSADtdown‬ﺩﺭ ﻣﻌﺎﺩﻟﻪ )‪ (٦‬ﺍﺯ ﺑﺎﺯﺩﻩ ﺷﺎﺧﺺ ﻗﻴﻤﺖ ﻭ‬
‫‪,t‬‬ ‫ﻧﻘﺪﻱ ﻣﺜﺒﺖ ﻭ ﺑﺮﺍﻱ ﻣﺤﺎﺳﺒﻪ‬
‫ﺳﻮﺩ ﻧﻘﺪﻱ ﻣﻨﻔﻲ ﺍﺳﺘﻔﺎﺩﻩ ﮔﺮﺩﻳﺪ‪.‬‬
‫‪ive‬‬

‫‪ .٥‐٤‬ﻣﺘﻐﻴﺮﻫﺎﻱ ﻣﻮﻫﻮﻣﻲ ) ‪ DtL‬ﻭ ‪ ( DtU‬ﺩﺭ ﻣﻌﺎﺩﻟﻪ )‪ (١‬ﺑﺎ ﺍﺳـﺘﻔﺎﺩﻩ ﺍﺯ ﺳـﻪ ﻣﻌﻴـﺎﺭ ﻳـﮏ‪،‬‬
‫ﭘﻨﺞ ﻭ ﺩﻩ ﺩﺭﺻﺪ ﺑﺮﺍﻱ ﺗﻌﺮﻳﻒ ﻧﻮﺳﺎﻥﻫﺎﻱ ﺑﺰﺭﮒ ﺑﺎﺯﺍﺭ ﺗﺨﻤﻴﻦ ﺯﺩﻩ ﻣﻲﺷﻮﻧﺪ‪ ،‬ﺯﻳـﺮﺍ ﺑـﺮ ﺍﺳـﺎﺱ‬
‫ﻣﺪﻝ ‪ CH‬ﺗﻌﺮﻳﻒ ﺑﺎﺯﺩﻩ ﻏﻴﺮﻋﺎﺩﻱ ﺑﺎﺯﺍﺭ ﺍﺧﺘﻴﺎﺭﻱ ﺍﺳﺖ‪.‬‬
‫‪ch‬‬

‫‪ .٦‬ﻓﻮﺍﺻﻞ ﺯﻣﺎﻧﻲ ﻣﻮﺭﺩ ﺍﺳﺘﻔﺎﺩﻩ‬

‫ﻻﺯﻡ ﺑﻪ ﺫﮐﺮ ﺍﺳﺖ ﮐﻪ‪ ،‬ﻫﺮ ﺩﻭ ﻣﺪﻝ ﻣﻮﺭﺩ ﺑﺮﺭﺳﻲ ﺩﺭ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﻋﻼﻭﻩ ﺑﺮ ﺩﺍﺩﻩﻫﺎﻱ ﺭﻭﺯﺍﻧﻪ‬
‫‪Ar‬‬

‫ﺑﺎﺯﺩﻩ ﺑﺎ ﺩﺍﺩﻩﻫﺎﻱ ﻫﻔﺘﮕﻲ ﻭ ﻣﺎﻫﺎﻧﻪ ﻧﻴﺰ ﻣﻮﺭﺩ ﺁﺯﻣﻮﻥ ﻗﺮﺍﺭ ﺧﻮﺍﻫﻨﺪ ﮔﺮﻓﺖ‪ .‬ﺑﻪ ﻋﻘﻴﺪﻩ ‪ CH‬ﻭ ﺗﺎﻥ‬
‫ﻭ ﻫﻤﻜﺎﺭﺍﻥ‪ ،‬ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﭘﺪﻳﺪﻩﺍﻱ ﺑﺎ ﻋﻤﺮ ﮐﻮﺗﺎﻩ ﺍﺳﺖ‪ .‬ﺑﻪ ﻧﻈﺮ ﺁﻧﻬﺎ ﺍﮔﺮ ﺗﻮﺩﻩﻫﺎ ﺑﻪ ﺍﻓﻖ ﺯﻣﺎﻧﻲ‬
‫ﺑﻠﻨﺪﻣﺪﺗﻲ ﺑﺮﺍﻱ ﺗﺎﺛﻴﺮ ﺑﺮ ﻗﻴﻤﺖﻫﺎﻱ ﺑﺎﺯﺍﺭ ﻧﻴﺎﺯ ﺩﺍﺷﺘﻪ ﺑﺎﺷﻨﺪ‪ ،‬ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺩﺍﺩﻩﻫﺎﻱ ﺭﻭﺯﺍﻧﻪ ﺗﻮﺍﻧﺎﻳﻲ‬
‫ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺭﺍ ﺑﺮﺍﻱ ﺁﺷﮑﺎﺭ ﻧﻤﻮﺩﻥ ﺧﻮﺩﺵ ﺩﺭ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻣﺤﺪﻭﺩ‬
‫ﻣﻲﮐﻨﺪ‪ .‬ﻧﺘﺎﻳﺞ ﺗﺨﻤﻴﻦ ﻣﺪﻝ ﻧﺸﺎﻥ ﺩﺍﺩ ﮐﻪ ﺩﺍﺩﻩﻫﺎﻱ ﻣﺎﻫﺎﻧﻪ ﻭ ﻫﻔﺘﮕﻲ ﺳﻄﺢ ﺑﺎﻻﺗﺮﻱ ﺍﺯ ﺍﻧﺤﺮﺍﻑ‬

‫‪www.SID.ir‬‬
‫‪٣٧‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺭﺍ ﺍﻳﺠﺎﺩ ﻣﻲﻧﻤﺎﻳﻨﺪ ﻭ ﺿﺮﺍﻳﺐ ﺩﺭ ﺍﻛﺜﺮ ﻣﻮﺍﺭﺩ ﻧﻴﺰ ﻣﻌﻨﻲ ﺩﺍﺭ‬
‫ﻧﻤﻲﺑﺎﺷﻨﺪ‪.‬‬

‫‪ .٧‬ﺟﺎﻣﻌﻪ‪ ،‬ﻧﻤﻮﻧﻪ ﻭ ﺭﻭﺵ ﻧﻤﻮﻧﻪﮔﻴﺮﻱ‬

‫ﺟﺎﻣﻌﻪ ﺁﻣﺎﺭﻱ ﻣﻮﺭﺩ ﻧﻈﺮ ﺩﺭ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﮐﻠﻴﻪ ﺷﺮﮐﺖﻫﺎﻱ ﭘﺬﻳﺮﻓﺘـﻪ ﺷـﺪﻩ ﺩﺭ ﺑـﻮﺭﺱ ﺍﻭﺭﺍﻕ‬
‫ﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﻣﻲﺑﺎﺷﺪ‪ .‬ﺟﻬﺖ ﺍﻧﺠﺎﻡ ﻧﻤﻮﻧﻪﮔﻴﺮﻱ ﺍﺑﺘﺪﺍ ﺷﺮﺍﻳﻄﻲ ﺩﺭ ﻧﻈﺮ ﮔﺮﻓﺘﻪ ﺷﺪ‪:‬‬
‫‪ .١‬ﺷﺮﮐﺖﻫﺎﻱ ﺍﻧﺘﺨﺎﺑﻲ ﺑﺎﻳﺪ ﺗﺎ ﺍﺑﺘـﺪﺍﻱ ﻓـﺮﻭﺭﺩﻳﻦ ‪ ١٣٨٠‬ﺩﺭ ﺑـﻮﺭﺱ ﺍﻭﺭﺍﻕ ﺑﻬـﺎﺩﺍﺭ ﺗﻬـﺮﺍﻥ‬
‫ﭘﺬﻳﺮﻓﺘﻪ ﺷﺪﻩ ﺑﺎﺷﻨﺪ‪.‬‬

‫‪D‬‬
‫‪ .٢‬ﻭﻗﻔﻪ ﻣﻌﺎﻣﻼﺗﻲ ﺑﻴﺸﺘﺮ ﺍﺯ ﺷﺶ ﻣﺎﻩ ﺍﺯ ﺍﺑﺘﺪﺍﻱ ﺳﺎﻝ ‪ ١٣٨٠‬ﺗـﺎ ﭘﺎﻳـﺎﻥ ﺳـﺎﻝ ‪ ١٣٨٤‬ﺩﺭ ﻣـﻮﺭﺩ‬
‫ﺳﻬﺎﻡ ﺁﻧﻬﺎ ﻭﺟﻮﺩ ﻧﺪﺍﺷﺘﻪ ﺑﺎﺷﺪ‪.‬‬

‫‪SI‬‬
‫ﺍﻧﺘﺨﺎﺏ ﻧﻤﻮﻧﻪ ﺩﺭ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﺑﻪ ﺻﻮﺭﺕ ﻗﻀﺎﻭﺗﻲ ﺍﻧﺠﺎﻡ ﮔﺮﻓﺘﻪ ﺍﺳﺖ‪ ،‬ﺯﻳﺮﺍ ﺩﺭ ﺍﻳﻦ ﻣﺪﻝﻫـﺎ‪،‬‬
‫ﺍﺯ ﺑﻴﻦ ﺗﻤﺎﻣﻲ ﺷﺮﮐﺖﻫﺎ ﺁﻧﻬﺎﻳﻲ ﺍﺯ ﻫﻤﻪ ﻣﻬﻤﺘﺮﻧﺪ ﮐﻪ ﺑﻴﺸﺘﺮ ﻣﻮﺭﺩ ﻣﻌﺎﻣﻠﻪ ﻗﺮﺍﺭ ﮔﺮﻓﺘﻪﺍﻧـﺪ‪ .‬ﺍﺯ ﺑـﻴﻦ‬
‫ﺗﻤﺎﻣﻲ ﺷﺮﻛﺖ ﻫﺎﻳﻲ ﻛﻪ ﺩﺭ ﺑﺎﺯﻩ ﺯﻣﺎﻧﻲ ‪ ١٣٨٠‬ﺗﺎ ‪ ١٣٨٤‬ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﭘﺬﻳﺮﻓﺘـﻪ‬
‫ﺷﺪﻩ ﻭ ﻣﻮﺭﺩ ﻣﻌﺎﻣﻠﻪ ﻗﺮﺍﺭ ﮔﺮﻓﺘﻪﺍﻧﺪ‪ ،‬ﺗﻌﺪﺍﺩ ‪ ٥٥‬ﺷـﺮﮐﺖ ﻛـﻪ ﺑﻴـﺸﺘﺮﻳﻦ ﺣﺠـﻢ ﻣﻌـﺎﻣﻼﺕ ﺭﻳـﺎﻟﻲ‪،‬‬
‫‪of‬‬
‫ﺗﻌﺪﺍﺩ ﺭﻭﺯﻫﺎﻱ ﻣﻌﺎﻣﻼﺗﻲ ﻭ ﺗﻌﺪﺍﺩ ﺩﻓﻌﺎﺕ ﻣﻌﺎﻣﻼﺗﻲ ﺭﺍ ﺩﺍﺭﺍ ﺑﻮﺩﻧﺪ‪ ،‬ﺍﻧﺘﺨﺎﺏ ﮔﺮﺩﻳﺪﻧﺪ‪.‬‬

‫‪ .٨‬ﺁﺯﻣﻮﻥ ﻓﺮﺿﻴﻪﻫﺎ‬
‫‪ive‬‬

‫ﺑﻪ ﻣﻨﻈﻮﺭ ﺁﺯﻣﻮﻥ ﻓﺮﺿﻴﻪ ﺍﻭﻝ ﻭ ﺩﻭﻡ ﺑﻪ ﺗﺮﺗﻴﺐ ﺑﺮ ﺍﺳﺎﺱ ﺩﻭ ﻣـﺪﻝ ‪ CH‬ﻭ ﺗـﺎﻥ ﻭ ﻫﻤﻜـﺎﺭﺍﻥ‪،‬‬
‫ﺭﮔﺮﺳﻴﻮﻥﻫﺎﻱ ﻣﺮﺑﻮﻁ ﺑﺮﺁﻭﺭﺩ ﻣﻲﮔﺮﺩﻧﺪ‪ .‬ﺩﺭ ﺍﺩﺍﻣﻪ ﺗﺤﻘﻴﻖ ﻧﺘﺎﻳﺞ ﺣﺎﺻﻞ ﺍﺯ ﺗﺨﻤﻴﻦ ﺭﮔﺮﺳـﻴﻮﻥ‬
‫ﺑﻪ ﺗﺮﺗﻴﺐ ﺍﺯ ﻃﺮﻳﻖ ﻣﺪﻝ ﺍﻭﻝ ﻭ ﺩﻭﻡ ﺑﻴﺎﻥ ﻣﻲﮔﺮﺩﺩ‪ .‬ﻳﮑﻲ ﺍﺯ ﻣﻮﺍﺭﺩ ﺍﺷﺘﺮﺍﮎ ﻫﻤﻪ ﺍﻳﻦ ﺗﺨﻤﻴﻦﻫـﺎ‬
‫‪ch‬‬

‫ﺩﺍﺭﺍ ﺑﻮﺩﻥ ﻣﻘﺪﺍﺭ ‪ R 2‬ﭘﺎﻳﻴﻦ‪ ،‬ﺍﻣﺎ ﺩﺭ ﻋﻴﻦ ﺣﺎﻝ ﻣﻌﻨﻲﺩﺍﺭﻱ ﺿﺮﺍﻳﺐ ﺭﮔﺮﺳﻴﻮﻥ ﺍﺳﺖ‪ .‬ﺍﻳـﻦ ﻣـﺴﺎﻟﻪ‬
‫ﺩﺭ ﺗﻤﺎﻣﻲ ﻣﻄﺎﻟﻌﺎﺗﻲ ﻛﻪ ﻣﻨﺒﻊ ﺍﻳﻦ ﭘﮋﻭﻫﺶ ﺑﻮﺩﻩﺍﻧﺪ‪ ،‬ﻗﺎﺑﻞ ﻣﺸﺎﻫﺪﻩ ﻣـﻲﺑﺎﺷـﺪ‪ .‬ﺑـﻪ ﺩﻟﻴـﻞ ﺁﻧﮑـﻪ ﺍﺯ‬
‫‪Ar‬‬

‫ﺍﻃﻼﻋﺎﺕ ﺷﺮﮐﺖﻫﺎ ﻧﺴﺒﺖ ﺑﻪ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﺭ ﻃﻮﻝ ﻳﮏ ﺑﺎﺯﻩ ﺯﻣﺎﻧﻲ ﺍﻧﺤـﺮﺍﻑ ﻣﻘﻄﻌـﻲ ﻭ ﺳـﭙﺲ‬
‫ﺭﮔﺮﺳﻴﻮﻥ ﮔﺮﻓﺘﻪ ﻣﻲﺷﻮﺩ‪ ،‬ﻣﻼﮎ ﺿﺮﻳﺐ ﺗﻌﻴﻴﻦ ﺑﺎﻻﺗﺮ ﻣﻌﻴﺎﺭ ﻣﻄﻤﺌﻨﻲ ﺑﺮﺍﻱ ﺧﻮﺑﻲ ﺑﺮﺍﺯﺵ ﺗﻠﻘﻲ‬
‫ﻧﻤـﻲﮔــﺮﺩﺩ ﻭ ﻣـﻲﺑﺎﻳـﺪ ﺑــﻪ ﻣﻌﻨــﻲﺩﺍﺭﻱ ﺿــﺮﺍﻳﺐ ﺭﮔﺮﺳـﻴﻮﻧﻲ ﺗﻮﺟــﻪ ﺷــﻮﺩ‪ .‬ﺩﺭ ﺿــﻤﻦ ﻭﺟــﻮﺩ‬
‫ﺧﻮﺩﻫﻤﺒﺴﺘﮕﻲ ﻭ ﻧﺎﻫﻤﺴﺎﻧﻲ ﻭﺍﺭﻳﺎﻧﺲ ﺑﺮﺍﻱ ﻣﻌﺎﺩﻻﺕ ﺭﮔﺮﺳﻴﻮﻥ ﻣﻮﺭﺩ ﺑﺮﺭﺳـﻲ ﻗـﺮﺍﺭ ﮔﺮﻓـﺖ ﻭ‬
‫ﺩﺭ ﺻﻮﺭﺕ ﺑﺮﺧﻮﺭﺩ ﺑﺎ ﺁﻧﻬﺎ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﻧﺮﻡ ﺍﻓﺰﺍﺭ ‪ Eviews‬ﺭﻓﻊ ﮔﺮﺩﻳﺪﻧﺪ‪ .‬ﺩﺭ ﻧﮕﺎﺭﻩ ﻫﺎﻱ ﺯﻳـﺮ‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٣٨‬‬

‫ﺁﻣﺎﺭﻩﻫﺎﻱ ﺗﻮﺻﻴﻔﻲ ﻫﺮ ﻳﮏ ﺍﺯ ﻣﺪﻝﻫﺎ ﺁﻭﺭﺩﻩ ﺷﺪﻩ ﺍﺳـﺖ‪ .‬ﻋﻠـﺖ ﺗﺨﻤـﻴﻦ ﻣـﺪﻝ ﺑـﺎ ﺍﺳـﺘﻔﺎﺩﻩ ﺍﺯ‬
‫ﺩﺍﺩﻩﻫﺎﻱ ﻫﻔﺘﮕﻲ ﺗﻨﻬﺎ ﺩﺭ ﻣﻌﻴﺎﺭ ‪ ١٠‬ﺩﺭﺻﺪ‪ ،‬ﮐﻢ ﺑﻮﺩﻥ ﺗﻌﺪﺍﺩ ﻣـﺸﺎﻫﺪﺍﺕ ﺩﺭ ﻣﻌﻴـﺎﺭ ﻳـﮏ ﻭ ﭘـﻨﺞ‬
‫ﺩﺭﺻﺪ ﻣﻲﺑﺎﺷﺪ‪.‬‬

‫ﻧﮕﺎﺭﻩ )‪ :(٢‬ﺁﻣﺎﺭﻩﻫﺎﻱ ﺗﻮﺻﻴﻔﻲ ﻣﺮﺑﻮﻁ ﺑﻪ ﻣﺪﻝ ‪CH‬‬

‫ﺩﺍﺩﻩ ﻫﺎﻱ ﻫﻔﺘﮕﻲ‬ ‫ﺩﺍﺩﻩﻫﺎﻱ ﺭﻭﺯﺍﻧﻪ‬
‫ﺩﺭ ﺳﻄﺢ‬ ‫ﺩﺭ ﺳﻄﺢ‬ ‫ﺩﺭ ﺳﻄﺢ‬ ‫ﺩﺭ ﺳﻄﺢ‬ ‫ﺷﺮﺡ‬
‫‪CSSD‬‬ ‫‪t‬‬ ‫‪R m ,t‬‬ ‫‪CSSD‬‬ ‫‪R m ,t‬‬
‫‪%١٠‬‬ ‫‪%١٠‬‬ ‫‪%٥‬‬ ‫‪%١‬‬ ‫‪t‬‬

‫‐‬ ‫‪۲۶۱‬‬ ‫‪۲۶۱‬‬ ‫‐‬ ‫‐‬ ‫‐‬ ‫‪۱۲۰۹‬‬ ‫‪۱۲۰۹‬‬ ‫ﺗﻌﺪﺍﺩ ﻣﺸﺎﻫﺪﺍﺕ‬
‫‐‬ ‫‪۳۲/۳۷۵‬‬ ‫‪۸/۹۰۱‬‬ ‫‐‬ ‫‐‬ ‫‐‬ ‫‪۲۶/۶۵۳۶‬‬ ‫‪۵/۲۴۴۶‬‬ ‫ﻣﺎﮐﺰﻳﻤﻢ‬

‫‪D‬‬
‫‐‬ ‫‪۱/۱۸۴‬‬ ‫‪‐۳/۱۶۸‬‬ ‫‐‬ ‫‐‬ ‫‐‬ ‫‪۰/۳۲۱۵‬‬ ‫‪‐۴/۱۸۲۷‬‬ ‫ﻣﻴﻨﻴﻤﻢ‬
‫‐‬ ‫‪۲/۸۴‬‬ ‫‪۱/۷۹۹‬‬ ‫‐‬ ‫‐‬ ‫‐‬ ‫‪۱/۵۶۵۱‬‬ ‫‪۰/۵۶۱۷‬‬ ‫ﺍﻧﺤﺮﺍﻑ ﻣﻌﻴﺎﺭ‬
‫‪۱۴‬‬ ‫‐‬ ‫‐‬ ‫‪۳۵‬‬ ‫‪۳۵‬‬ ‫‪۲۶‬‬ ‫‐‬ ‫‐‬ ‫ﺗﻌﺪﺍﺩ‪ D tU‬ﺑﺎ ﺍﺭﺯﺵ ‪١‬‬
‫‪۸‬‬

‫ﺍﻧﺤﺮﺍﻑ ﻣﻌﻴﺎﺭ‬
‫‐‬ ‫‐‬ ‫‪۳۰‬‬ ‫‪۱۹‬‬ ‫‪۱۱‬‬

‫‪SI‬‬
‫ﻧﮕﺎﺭﻩ )‪ :(٣‬ﺁﻣﺎﺭﻩﻫﺎﻱ ﺗﻮﺻﻴﻔﻲ ﻣﺮﺑﻮﻁ ﺑﻪ ﻣﺪﻝ ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ‬
‫ﻣﻴﺎﻧﮕﻴﻦ‬ ‫ﻣﺎﮐﺰﻳﻤﻢ‬ ‫ﻣﻴﻨﻴﻤﻢ‬
‫‐‬

‫ﺗﻌﺪﺍﺩ ﻣﺸﺎﻫﺪﺍﺕ‬
‫‐‬ ‫ﺗﻌﺪﺍﺩ ‪ D tl‬ﺑﺎ ﺍﺭﺯﺵ ‪١‬‬

‫ﺷﺮﺡ‬
‫‪of‬‬
‫‪۰/۵۶۱۷‬‬ ‫‪۰/۱۳۷۰‬‬ ‫‪۵/۲۴۴۶‬‬ ‫‪‐۴/۱۸۲۷‬‬ ‫‪۱۲۰۹‬‬ ‫‪R m ,t‬‬
‫‪۰/۶۳۴۷‬‬ ‫‪۱/۱۶۱۰‬‬ ‫‪۷/۵۹۳۱‬‬ ‫‪۰/۱۴۴۹‬‬ ‫‪۱۲۰۹‬‬ ‫‪CSADt‬‬
‫‪۰/۴۸۲۳‬‬ ‫‪۰/۴۱۶۰‬‬ ‫‪۵/۲۴۴۶‬‬ ‫‪۰/۰۰۰۱‬‬ ‫‪۷۴۳‬‬ ‫‪Rmup,t‬‬
‫‪ive‬‬

‫‪۰/۳۵۳۷‬‬ ‫‪‐۰/۳۰۸۵‬‬ ‫‪‐۰/۰۰۰۱‬‬ ‫‪‐۴/۱۸۲۷‬‬ ‫‪۴۶۵‬‬ ‫‪Rmdown‬‬

‫‪,t‬‬

‫‪۰/۶۹۶۱‬‬ ‫‪۱/۲۷۳۳‬‬ ‫‪۷/۵۹۳۱‬‬ ‫‪۰/۲۲۳۸‬‬ ‫‪۷۴۳‬‬ ‫‪CSADtup‬‬

‫‪۰/۴۶۹۷‬‬ ‫‪۰/۹۸۱۷‬‬ ‫‪۳/۸۷۳۸‬‬ ‫‪۰/۱۴۴۹‬‬ ‫‪۴۶۵‬‬ ‫‪CSADtdown‬‬
‫‪ch‬‬

‫‪ .٨‐١‬ﻣﺪﻝ ‪CH‬‬
‫ﺟﻬﺖ ﺁﺯﻣﻮﻥ ﻓﺮﺿﻴﺎﺕ ﺍﻭﻝ ﻭ ﺩﻭﻡ ﺑﺮ ﺍﺳﺎﺱ ﻣﺪﻝ ‪ ،CH‬ﻫﻤﺎﻥﻃﻮﺭﮐﻪ ﭘﻴﺸﺘﺮ ﻋﻨﻮﺍﻥ ﮔﺮﺩﻳـﺪ‬
‫ﺭﮔﺮﺳﻴﻮﻥ ﺯﻳﺮ ﺗﺨﻤﻴﻦ ﺯﺩﻩ ﻣﻲﺷﻮﺩ‪:‬‬
‫‪Ar‬‬

‫‪CSSDt = α + β U DtU + β L DtL + ε t‬‬

‫ﻧﺘﺎﻳﺞ ﺣﺎﺻﻞ ﺍﺯ ﺗﺨﻤﻴﻦ ﺭﮔﺮﺳﻴﻮﻥ ﻓﻮﻕ ﺩﺭ ﻫﺮ ﺳﻪ ﻣﻌﻴـﺎﺭ ﺑﺮﺍﺳـﺎﺱ ﺩﺍﺩﻩﻫـﺎﻱ ﺭﻭﺯﺍﻧـﻪ ﻭ ﺩﺭ‬
‫ﻣﻌﻴـﺎﺭ ‪ ١٠‬ﺩﺭﺻــﺪ ﺑﺮﺍﺳــﺎﺱ ﺩﺍﺩﻩﻫــﺎﻱ ﻫﻔﺘﮕـﻲ ﺩﺭ ﻧﮕــﺎﺭﻩ )‪ (٤‬ﺁﻭﺭﺩﻩ ﺷــﺪﻩ ﺍﺳــﺖ‪ .‬ﺑــﺮ ﺍﺳــﺎﺱ‬
‫ﺩﺍﺩﻩﻫﺎﻱ ﺭﻭﺯﺍﻧﻪ ﺩﺭ ﻫﺮ ﺳﻪ ﻣﻌﻴـﺎﺭ ‪ ٥ ،١‬ﻭ ‪ ١٠‬ﺩﺭﺻـﺪ‪ ،‬ﺿـﺮﻳﺐ ﻣﺘﻐﻴﺮﻫـﺎﻱ ‪ Dtu‬ﻭ ‪ Dtl‬ﮐـﻪ ﺑـﻪ‬

‫‪www.SID.ir‬‬
‫‪٣٩‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫ﺗﺮﺗﻴﺐ ﻧﺸﺎﻥﺩﻫﻨـﺪﻩ ﻣﻌﻴـﺎﺭ ﺗـﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺷـﺮﺍﻳﻂ ﻧﻮﺳـﺎﻧﺎﺕ ﻏﻴﺮﻋـﺎﺩﻱ ﺑـﺎﻻ ﻭ ﭘـﺎﻳﻴﻦ ﺩﺭ ﺑـﺎﺯﺍﺭ‬
‫ﻣﻲﺑﺎﺷﻨﺪ‪ ،‬ﻣﺜﺒﺖ ﻭ ﺩﺭ ﻓﺎﺻﻠﻪ ﺍﻃﻤﻴﻨﺎﻥ ‪ ٩٥‬ﺩﺭﺻﺪ ﻣﻌﻨﻲﺩﺍﺭ ﻫﺴﺘﻨﺪ‪ .‬ﻭﻟـﻲ ﺑـﺎ ﺗﻮﺟـﻪ ﺑـﻪ ﺩﺍﺩﻩﻫـﺎﻱ‬
‫ﻫﻔﺘﮕﻲ ﻣﺸﺎﻫﺪﻩ ﻣﻲﮔـﺮﺩﺩ ﮐـﻪ ﺿـﺮﻳﺐ ‪ Dtu‬ﻣﺜﺒـﺖ ﻣﻌﻨـﻲﺩﺍﺭ ﻭ ﺿـﺮﻳﺐ ‪ Dtl‬ﻣﻨﻔـﻲ ﺍﺳـﺖ ﻭ‬
‫ﻣﻌﻨﻲﺩﺍﺭ ﻧﻤﻲﺑﺎﺷﺪ‪.‬‬

‫‪CSSD t = α + β U DtU + β L DtL + ε t‬‬ ‫ﻧﮕﺎﺭﻩ )‪ :(٤‬ﺿﺮﺍﻳﺐ ﺭﮔﺮﺳﻴﻮﻥ‬

‫ﻭ ﻣﻌﻨﻲ ﺩﺍﺭﻱ ﺁﻧﻬﺎ‬
‫‪Adjusted‬‬
‫‪R-squared‬‬
‫‪F-statistic‬‬ ‫‪βl‬‬ ‫‪βu‬‬ ‫‪α‬‬ ‫ﻓﻮﺍﺻﻞ ﺯﻣﺎﻧﻲ‬

‫‪D‬‬
‫ﺭﻭﺯﺍﻧﻪ‬
‫‪۰/۲۰۰۵۰۷‬‬ ‫‪۱۰۱/۹۸۵۹‬‬ ‫‪۱/۳۶۰۷۵۷‬‬ ‫‪۳/۵۳۸۶۵‬‬ ‫‪۱/۸۶۹۹۰۲‬‬
‫ﻣﻌﻴﺎﺭ ‪ ١‬ﺩﺭﺻﺪ‬
‫* )‪(۳/۲۲۴۸‬‬ ‫* )‪(۱۲/۰۵۳۲‬‬ ‫* )‪(۳۴/۰۸۷۱‬‬
‫‪۰/۱۹۳۸۵۱‬‬

‫‪۰/۱۷۹۴۳۴‬‬
‫‪۹۷/۸۲۷۴‬‬

‫‪۸۹/۰۵۱۸‬‬
‫‪۱/۲۵۴۱۶۴‬‬
‫*)‪(۳/۷۶۶۷‬‬
‫‪۰/۹۷۰۷۲‬‬
‫* )‪(۳/۶۶۸۲‬‬
‫‪SI‬‬
‫‪۲/۹۶۴۶۶۱‬‬
‫* )‪(۱۱/۴۸۳۸‬‬
‫‪۲/۲۱۱۶۷۸‬‬
‫* )‪(۱۰/۳۲۱۶‬‬
‫‪۱/۸۴۸۷۶۸‬‬
‫* )‪(۳۴/۲۰۸۹‬‬
‫‪۱/۸۳۳۳۹۸‬‬
‫* )‪(۳۲/۹۰۸۸‬‬
‫ﻣﻌﻴﺎﺭ ‪ ٥‬ﺩﺭﺻﺪ‬

‫ﻣﻌﻴﺎﺭ ‪ ١٠‬ﺩﺭﺻﺪ‬
‫‪of‬‬
‫ﻫﻔﺘﮕﻲ‬
‫‪۰/۲۴۰۱۹۴‬‬ ‫‪۲۸/۲۹۲۱‬‬ ‫‪‐۰/۰۳۰۲۲۴‬‬ ‫‪۴/۵۶۶۵۵۴‬‬ ‫‪۴/۹۰۲۳۶۱‬‬
‫ﻣﻌﻴﺎﺭ ‪ ١٠‬ﺩﺭﺻﺪ‬
‫)‪(‐۰/۰۳۴۳‬‬ ‫* )‪(۶/۱۶۴۴‬‬ ‫* )‪(۲۳/۶۸۶۳‬‬
‫‪ive‬‬

‫* ﺩﺭ ﺳﻄﺢ ﺍﻃﻤﻴﻨﺎﻥ ‪٩٥‬ﺩﺭﺻﺪ ﻣﻌﻨﻲﺩﺍﺭ‬

‫ﺑﻨﺎﺑﺮﺍﻳﻦ‪ ،‬ﻓﺮﺿﻴﻪ ﺍﻭﻝ ﮐﻪ ﺑﻴﺎﻥ ﻣﻲﺩﺍﺷﺖ‪ :‬ﻭﺟﻮﺩ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﻣﻮﺟـﺐ ﮐـﺎﻫﺶ ﺍﻧﺤﺮﺍﻓـﺎﺕ‬
‫ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﻣﻲﺷﻮﺩ‪ ،‬ﺩﺭ ﻫﻴﭽﻴﮏ ﺍﺯ ﺳﻪ ﻣﻌﻴﺎﺭ ﺗﺎﻳﻴﺪ ﻧﻤﻲﮔﺮﺩﺩ‪.‬‬
‫‪ch‬‬

‫ﺍﺯ ﻃﺮﻓﻲ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺩﺍﺩﻩﻫﺎﻱ ﻫﻔﺘﮕﻲ ﻧﻴﺰ ﺑﻪ ﺷﻮﺍﻫﺪﻱ ﺍﺯ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺳﺖ ﻧﻴـﺎﻓﺘﻴﻢ‪ ،‬ﻳﻌﻨـﻲ‬
‫ﺑﻪ ﻧﺘﻴﺠﻪﺍﻱ ﻣﺸﺎﺑﻪ ﻳﺎﻓﺘﻪﻫﺎﻱ ‪ CH‬ﺑﺮ ﺍﺳﺎﺱ ﺩﺍﺩﻩﻫﺎﻱ ﻣﺎﻫﺎﻧـﻪ ﺩﺳـﺖ ﻳـﺎﻓﺘﻴﻢ‪ ،‬ﮐـﻪ ﻋﻘﻴـﺪﻩ ﺩﺍﺷـﺘﻨﺪ‬
‫ﺗﻮﺩﻩﻭﺍﺭﻱ ﭘﺪﻳﺪﻩﺍﻱ ﮐﻮﺗﺎﻩﻣﺪﺕ ﺍﺳﺖ ﻭ ﻧﻤـﻲﺗﻮﺍﻧـﺪ ﺧـﻮﺩ ﺭﺍ ﺩﺭ ﺩﺍﺩﻩﻫـﺎﻱ ﺑـﺎ ﻓﻮﺍﺻـﻞ ﺯﻣـﺎﻧﻲ‬
‫‪Ar‬‬

‫ﺑﻠﻨﺪﻣﺪﺕ ﻧﺸﺎﻥ ﺩﻫﺪ‪.‬‬

‫ﺟﻬﺖ ﺁﺯﻣﻮﻥ ﻓﺮﺿﻴﻪ ﺩﻭﻡ ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﮐﺎﻓﻲ ﺍﺳـﺖ ﻧﮕـﺎﻫﻲ ﺑـﻪ ﺿـﺮﺍﻳﺐ ﻣﺘﻐﻴﺮﻫـﺎﻱ ‪ Dtl‬ﻭ‬
‫‪ Dtu‬ﺑﻴﻨﺪﺍﺯﻳﻢ‪ .‬ﺑﺎ ﻣﻘﺎﻳﺴﻪ ﻣﻘﺪﺍﺭ ﺿﺮﺍﻳﺐ ‪ Dtu‬ﻣﺮﺑﻮﻁ ﺑﻪ ﺑـﺎﺯﺍﺭ ﺭﻭ ﺑـﻪ ﺭﺷـﺪ ﻭ ‪ Dtl‬ﻣﺮﺑـﻮﻁ ﺑـﻪ‬
‫ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺍﻓﻮﻝ ﺩﺭ ﻣﻲﻳﺎﺑﻴﻢ ﺩﺭ ﻫﺮ ﺳﻪ ﻣﻌﻴﺎﺭ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﻣﺮﺑﻮﻁ ﺑﻪ ﺩﻭﺭﺍﻥ ﺍﻓـﻮﻝ ﺑـﺎﺯﺍﺭ ﺑـﻪ‬
‫ﻣﺮﺍﺗﺐ ﮐﻤﺘﺮ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺩﺭ ﺩﻭﺭﺍﻥ ﺭﺷﺪ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷﺪ‪ .‬ﺑﺮﺍﻱ ﻣﺜـﺎﻝ ﺩﺭ ﻣﻌﻴـﺎﺭ ‪ ١‬ﺩﺭﺻـﺪ‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٤٠‬‬

‫ﺭﻭﺯﺍﻧــﻪ‪ ،‬ﺿــﺮﻳﺐ ‪ Dtu‬ﻣﻌــﺎﺩﻝ ‪ ۳/۵۳۵‬ﻭ ﺿــﺮﻳﺐ ‪ Dtl‬ﻣﻌــﺎﺩﻝ ‪ ۱/۳۶۰‬ﺍﺳــﺖ‪ .‬ﻫﻤــﺎﻥﻃــﻮﺭ ﮐــﻪ‬

‫ﻣﻼﺣﻈﻪ ﻣﻲﮔﺮﺩﺩ ﺿﺮﻳﺐ ‪ ۲/۶ ، Dtu‬ﺑﺮﺍﺑﺮ ﺿﺮﻳﺐ ‪ Dtl‬ﺍﺳﺖ‪ .‬ﺍﻳﻦ ﻣﺴﺎﻟﻪ ﻧـﺸﺎﻥﺩﻫﻨـﺪﻩ ﺍﺟﻤـﺎﻉ‬
‫ﺑﻴﺸﺘﺮ ﻣﺸﺎﺭﮐﺖﮐﻨﻨﺪﮔﺎﻥ ﺑﺎﺯﺍﺭ ﺩﺭ ﺯﻣﺎﻥ ﺭﮐﻮﺩ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷـﺪ‪ .‬ﺑﻨـﺎﺑﺮﺍﻳﻦ‪ ،‬ﻓﺮﺿـﻴﻪ ﺩﻭﻡ ﮐـﻪ ﺑﻴـﺎﻥ‬
‫ﻣﻲﺩﺍﺷﺖ‪ :‬ﺩﺭﺻﻮﺭﺗﻲﮐﻪ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﻣﻌﻨـﻲﺩﺍﺭ ﺑﺎﺷـﺪ‪ ،‬ﺍﻧﺤﺮﺍﻓـﺎﺕ‬
‫ﺩﻭﺭﺍﻥ ﺭﮐﻮﺩ ﺑﺎﺯﺍﺭ ﮐﻤﺘﺮ ﺍﺯ ﺍﻧﺤﺮﺍﻓـﺎﺕ ﺩﻭﺭﺍﻥ ﺭﻭﻧـﻖ ﺍﺳـﺖ‪ ،‬ﺗﺎﻳﻴـﺪ ﻣـﻲﮔـﺮﺩﺩ‪ .‬ﺍﻟﺒﺘـﻪ ﺩﺭ ﻣـﻮﺭﺩ‬
‫ﺩﺍﺩﻩﻫﺎﻱ ﻫﻔﺘﮕﻲ ﻓﺮﺿﻴﻪ ﺩﻭﻡ ﺗﺎﻳﻴﺪ ﻧﻤﻲﮔﺮﺩﺩ‪ ،‬ﺯﻳﺮﺍ ﺿﺮﻳﺐ ﻣﺘﻐﻴﺮ ‪ Dtl‬ﻣﻌﻨﻲﺩﺍﺭ ﻧﻤﻲﺑﺎﺷﺪ‪.‬‬

‫‪ .٨‐٢‬ﻣﺪﻝ ﺗﺎﻥ ﻭ ﻫﻤﮑﺎﺭﺍﻥ‬

‫‪D‬‬
‫ﺟﻬﺖ ﺁﺯﻣﻮﻥ ﻓﺮﺿﻴﺎﺕ ﺍﻭﻝ ﻭ ﺩﻭﻡ ﺑﺮ ﺍﺳـﺎﺱ ﻣـﺪﻝ ﺗـﺎﻥ ﻭ ﻫﻤﮑـﺎﺭﺍﻥ‪ ،‬ﻫﻤﺎﻧﻄﻮﺭﮐـﻪ ﭘﻴـﺸﺘﺮ‬
‫ﻋﻨﻮﺍﻥ ﮔﺮﺩﻳﺪ ﺭﮔﺮﺳﻴﻮﻥﻫﺎﻱ ﺯﻳﺮ ﺗﺨﻤﻴﻦ ﺯﺩﻩ ﻣﻲﺷﻮﻧﺪ‪:‬‬

‫‪CSADt = α + γ 1 Rm ,t + γ 2 Rm2 ,t + ε t‬‬

‫‪CSADtup = α + γ 1up Rmup,t + γ 2up ( Rmup,t ) 2 + ε t‬‬

‫‪SI‬‬
‫‪of‬‬
‫‪CSADtdown = α + γ 1down Rmdown‬‬
‫‪,t‬‬ ‫‪+ γ 2down ( Rmdown‬‬
‫‪,t ) + ε t‬‬
‫‪2‬‬
‫‪ive‬‬

‫ﻧﺘﺎﻳﺞ ﺣﺎﺻﻞ ﺍﺯ ﺗﺨﻤﻴﻦ ﺭﮔﺮﺳﻴﻮﻥﻫﺎﻱ ﻓﻮﻕ ﺑﺮ ﺍﺳﺎﺱ ﺩﺍﺩﻩﻫﺎﻱ ﺭﻭﺯﺍﻧﻪ ﺩﺭ ﻧﮕﺎﺭﻩ )‪ (٤‬ﺁﻣﺪﻩ‬
‫ﺍﺳﺖ‪ .‬ﺿﺮﻳﺐ ﻣﺜﺒﺖ ﻭ ﻣﻌﻨﻲﺩﺍﺭ ﻣﺘﻐﻴﺮ ‪ Rm,t‬ﻛﻪ ﻧﺸﺎﻥﺩﻫﻨﺪﻩ ﺭﺍﺑﻄﻪ ﺧﻄﻲ ﺑﻴﻦ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑـﺎﺯﺩﻩ‬
‫ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﻭ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷﺪ ﺩﺭ ﻫﺮ ﺳﻪ ﺭﮔﺮﺳﻴﻮﻥ ﺣﺪﻭﺩ ‪ ۰/۸‬ﻭ ﻣﻌﻨـﻲﺩﺍﺭ ﻣـﻲﺑﺎﺷـﺪ‪،‬‬
‫‪ch‬‬

‫ﻻ ﺩﺭ ﺷﺮﺍﻳﻂ ﻋﺎﺩﻱ ﺑﺎﺯﺍﺭ ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ ﺑﺎ ﻧﻮﺳﺎﻧﺎﺕ ﺑﺴﻴﺎﺭ ﻣﻼﻳﻢ ﻣﺜﺒﺖ ﻳﺎ‬
‫ﻛﻪ ﻧﺸﺎﻥ ﻣﻲﺩﻫﺪ ﻣﻌﻤﻮ ﹰ‬
‫ﻣﻨﻔﻲ‪ ،‬ﺍﻧﺤﺮﺍﻑ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺍﻓﺰﺍﻳﺶ ﻣﻲﻳﺎﺑﺪ‪ .‬ﺿـﺮﻳﺐ ﻣﺘﻐﻴـﺮ ‪( Rm ,t ) 2‬‬
‫ﻛﻪ ﻧﺸﺎﻥ ﺩﻫﻨﺪﻩ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺯﻣﺎﻥ ﺗﻨﺶ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷﺪ‪ ،‬ﺩﺭ ﺗﻮﺯﻳﻊ ﮐﻞ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻭ ﺩﺭ ﺑـﺎﺯﺍﺭ‬
‫‪Ar‬‬

‫ﺭﻭ ﺑﻪ ﺭﺷﺪ ﻣﺜﺒﺖ ﻭ ﺩﺭ ﻓﺎﺻﻠﻪ ﺍﻃﻤﻴﻨﺎﻥ ‪ ٩٥‬ﺩﺭﺻﺪ ﻣﻌﻨﻲﺩﺍﺭ ﻣﻲﺑﺎﺷﺪ‪ .‬ﺩﺭ ﻧﺘﻴﺠﻪ ﻣﻲﺗـﻮﺍﻥ ﮔﻔـﺖ‪،‬‬
‫ﻓﺮﺿﻴﻪ ﺍﻭﻝ ﮐﻪ ﺑﻴﺎﻥ ﻣﻲﺩﺍﺷﺖ‪ :‬ﻭﺟﻮﺩ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﻣﻮﺟﺐ ﮐﺎﻫﺶ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑـﺎﺯﺩﻩ ﺳـﻬﺎﻡ ﺍﺯ‬
‫ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﻣﻲﺷﻮﺩ‪ ،‬ﺩﺭ ﮐﻞ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﻭ ﺩﺭ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺭﺷﺪ ﺗﺎﻳﻴﺪ ﻧﻤﻲﮔﺮﺩﺩ‪ .‬ﺍﻣـﺎ‬
‫ﺿﺮﻳﺐ ‪ ( Rm ,t ) 2‬ﺩﺭ ﺭﮔﺮﺳﻴﻮﻥ ﻣﺮﺑﻮﻁ ﺑﻪ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑـﻪ ﺍﻓـﻮﻝ‪ ،‬ﻣﻨﻔـﻲ ﻭ ﻣﻌﻨـﻲﺩﺍﺭ ﻣـﻲﺑﺎﺷـﺪ‪ .‬ﺩﺭ‬
‫ﻧﺘﻴﺠﻪ ﻣﻲﺗﻮﺍﻥ ﮔﻔﺖ ﻛﻪ ﺑﺎﺯﺩﻩ ﺷﺮﻛﺖﻫﺎ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬـﺮﺍﻥ ﺩﺭ ﺑـﺎﺯﺍﺭ ﺭﻭ ﺑـﻪ ﺍﻓـﻮﻝ‬

‫‪www.SID.ir‬‬
‫‪٤١‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫ﻣﺸﺎﺑﻪ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺑﻮﺩﻩ ﻭ ﺩﺭ ﻧﺘﻴﺠﻪ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﮐﺎﻫﺶ ﻳﺎﻓﺘﻪ ﺍﺳﺖ‪.‬‬
‫ﺍﻳﻦ ﻧﺘﻴﺠﻪ ﺑﻪ ﻧﻮﻋﻲ ﺩﻳﮕـﺮ ﺩﺭ ﺁﺯﻣـﻮﻥ ﻓﺮﺿـﻴﻪ ﺩﻭﻡ ﺍﺯ ﻃﺮﻳـﻖ ﻣـﺪﻝ ‪ CH‬ﻧﻴـﺰ ﻣـﺸﺎﻫﺪﻩ ﮔﺮﺩﻳـﺪ‪.‬‬
‫ﺑﻨﺎﺑﺮﺍﻳﻦ‪ ،‬ﻓﺮﺿﻴﻪ ﺍﻭﻝ ﮐﻪ ﺑﻴﺎﻥ ﻣﻲﺩﺍﺷﺖ‪ :‬ﻭﺟﻮﺩ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﻣﻮﺟﺐ ﮐﺎﻫﺶ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑـﺎﺯﺩﻩ‬
‫ﺳﻬﺎﻡ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﻣﻲﺷﻮﺩ‪ ،‬ﺩﺭ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺍﻓﻮﻝ ﺗﺎﻳﻴﺪ ﻣﻲﮔـﺮﺩﺩ‪ .‬ﺍﺯ ﻃﺮﻓـﻲ‪ ،‬ﻓﺮﺿـﻴﻪ ﺩﻭﻡ‬
‫ﮐﻪ ﺑﻴﺎﻥ ﻣﻲﺩﺍﺷﺖ‪ :‬ﺩﺭﺻﻮﺭﺗﻲﮐﻪ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳـﻬﺎﻡ ﺍﺯ ﺑـﺎﺯﺩﻩ ﮐـﻞ ﺑـﺎﺯﺍﺭ ﻣﻌﻨـﻲﺩﺍﺭ ﺑﺎﺷـﺪ‪،‬‬
‫ﺍﻧﺤﺮﺍﻓﺎﺕ ﺩﻭﺭﺍﻥ ﺭﮐﻮﺩ ﺑﺎﺯﺍﺭ ﮐﻤﺘﺮ ﺍﺯ ﺍﻧﺤﺮﺍﻓـﺎﺕ ﺩﻭﺭﺍﻥ ﺭﻭﻧـﻖ ﺍﺳـﺖ‪ ،‬ﺗﺎﻳﻴـﺪ ﻣـﻲﮔـﺮﺩﺩ‪ .‬ﺯﻳـﺮﺍ‬
‫ﺭﮔﺮﺳﻴﻮﻥ ﻓﻮﻕ ﺩﺭ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺍﻓﻮﻝ ﺗﺨﻤﻴﻦ ﺯﺩﻩ ﺷﺪﻩ ﺍﺳﺖ‪.‬‬

‫‪D‬‬
‫ﻧﮕﺎﺭﻩ )‪ :(٥‬ﻧﺘﺎﻳﺞ ﺭﮔﺮﺳﻴﻮﻥﻫﺎ ﺑﺮ ﺍﺳﺎﺱ ﺩﺍﺩﻩ ﻫﺎﻱ ﺭﻭﺯﺍﻧﻪ‬
‫‪DOWN‬‬ ‫‪UP‬‬ ‫ﺩﺭ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ‬ ‫ﺭﻭﺯﺍﻧﻪ‬

‫‪α‬‬

‫‪SI‬‬
‫‪۰/۷۳۶۳۴‬‬ ‫‪۰/۹۱۱۱۲۱‬‬ ‫‪۰/۸۴۷۳۲۶‬‬
‫* )‪(۲۲/۶۷۸۰۵‬‬ ‫* )‪(۲۶/۴۳۶۶‬‬ ‫* )‪(۳۲/۴۹۵۷‬‬
‫‪۰/۸۸۰۳۳۲‬‬ ‫‪۰/۸۰۶۸۲۱‬‬ ‫‪۰/۸۰۲۲۳۹‬‬
‫* )‪(۹/۲۲۵۵۹۷‬‬ ‫* )‪(۱۲/۴۳۱۸۱‬‬ ‫* )‪(۱۵/۸۰۳۳‬‬
‫‪γ1‬‬
‫‪‐۰/۱۰۱۹۲۱‬‬ ‫‪۰/۰۶۴۸۵۲‬‬ ‫‪۰/۰۴۴۶۶۷‬‬
‫‪of‬‬
‫‪γ‬‬ ‫‪2‬‬
‫* )‪(‐۳/۷۷۲۷۲۷‬‬ ‫* )‪(۳/۷۱۲۰۴‬‬ ‫* )‪(۲/۹۷۲۰۳۷‬‬
‫‪۱۵۳/۴۱۳‬‬ ‫‪۴۳۳/۱۲۳۵‬‬ ‫‪۶۹۳/۶۷۰۳‬‬ ‫‪F-statistic‬‬
‫‪Adjusted‬‬
‫‪۰/۴۹۶۳۳۱‬‬ ‫‪۰/۶۴۱۲۶۴‬‬ ‫‪۰/۶۱۳۳۱۸‬‬ ‫‪R-squared‬‬
‫‪ive‬‬

‫* ﺩﺭ ﺳﻄﺢ ﺍﻃﻤﻴﻨﺎﻥ ‪٩٥‬ﺩﺭﺻﺪ ﻣﻌﻨﻲﺩﺍﺭ‬

‫ﺩﺭ ﺍﺩﺍﻣﻪ ﻧﺘﺎﻳﺞ ﺣﺎﺻﻞ ﺍﺯ ﺗﺨﻤﻴﻦ ﻣﺪﻝ ﺑﺮ ﺍﺳﺎﺱ ﺩﺍﺩﻩﻫﺎﻱ ﻫﻔﺘﮕـﻲ ﻭ ﻣﺎﻫﺎﻧـﻪ ﺩﺭ ﻧﮕـﺎﺭﻩ )‪(٦‬‬
‫‪ch‬‬

‫ﺁﻭﺭﺩﻩ ﺷﺪﻩ ﺍﺳـﺖ‪ .‬ﺑـﺎ ﺗﻮﺟـﻪ ﺑـﻪ ﻧﺘـﺎﻳﺞ ﺩﺍﺩﻩﻫـﺎﻱ ﻫﻔﺘﮕـﻲ ﺩﺭ ﻣـﻲﻳـﺎﺑﻴﻢ‪ ،‬ﺿـﺮﺍﻳﺐ ‪ Rm ,t‬ﺩﺭ‬
‫ﺭﮔﺮﺳﻴﻮﻥ ﺍﻭﻝ ﻭ ﺩﻭﻡ ﻣﺜﺒﺖ ﻭ ﻣﻌﻨﻲﺩﺍﺭﻧﺪ ﻭ ﺩﺭ ﺭﮔﺮﺳﻴﻮﻥ ﺳﻮﻡ ﻣﻌﻨﻲﺩﺍﺭ ﻧﻤﻲﺑﺎﺷـﺪ‪ ،‬ﻛـﻪ ﻧـﺸﺎﻥ‬
‫ﻻ ﺩﺭ ﺷﺮﺍﻳﻂ ﻋﺎﺩﻱ ﺑﺎﺯﺍﺭ ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ ﺑﺎ ﻧﻮﺳﺎﻧﺎﺕ ﺑﺴﻴﺎﺭ ﻣﻼﻳـﻢ‪ ،‬ﺍﻧﺤـﺮﺍﻑ ﺑـﺎﺯﺩﻩ‬
‫ﻣﻲﺩﻫﺪ ﻣﻌﻤﻮ ﹰ‬
‫‪Ar‬‬

‫ﺳﻬﺎﻡ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺍﻓﺰﺍﻳﺶ ﻣﻲﻳﺎﺑﺪ‪ .‬ﺿﺮﻳﺐ ﻣﺘﻐﻴﺮ ‪ ( Rm ,t ) 2‬ﻧﻴـﺰ ﺩﺭ ﺭﮔﺮﺳـﻴﻮﻥ ﺍﻭﻝ‬
‫ﻭ ﺩﻭﻡ ﻣﺜﺒــﺖ ﻭ ﺩﺭ ﻓﺎﺻــﻠﻪ ﺍﻃﻤﻴﻨــﺎﻥ ‪ ٩٥‬ﺩﺭﺻــﺪ ﻣﻌﻨــﻲﺩﺍﺭ ﻭ ﺩﺭ ﺭﮔﺮﺳــﻴﻮﻥ ﺳــﻮﻡ ﻣﻌﻨــﻲﺩﺍﺭ‬
‫ﻧﻤﻲﺑﺎﺷﺪ‪ ،‬ﺩﺭ ﻧﺘﻴﺠﻪ ﻣﻲﺗﻮﺍﻥ ﮔﻔﺖ ﻛﻪ ﺑﺎﺯﺩﻩ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑـﺎﺯﺩﻩ ﺑـﺎﺯﺍﺭ ﺩﻭﺭ ﺷـﺪﻩ ﻭ ﺍﻧﺤﺮﺍﻓـﺎﺕ‬
‫ﺑﺎﺯﺩﻩ ﺯﻳﺎﺩ ﺷﺪﻩ ﺍﺳﺖ‪ .‬ﺍﺯ ﻃﺮﻓﻲ ﺑﻪ ﻧﺘﻴﺠﻪﺍﻱ ﻣﺸﺎﺑﻪ ﻧﺘﻴﺠـﻪ ﻓـﻮﻕ ﺩﺭ ﺧـﺼﻮﺹ ﺩﺍﺩﻩﻫـﺎﻱ ﻣﺎﻫﺎﻧـﻪ‬
‫ﺩﺳﺖ ﻳﺎﻓﺘﻴﻢ‪ .‬ﺑﻨﺎﺑﺮﺍﻳﻦ ﻓﺮﺿﻴﺎﺕ ﺍﻭﻝ ﻭ ﺩﻭﻡ ﺑﺮ ﺍﺳﺎﺱ ﺩﺍﺩﻩﻫﺎﻱ ﻫﻔﺘﮕﻲ ﻭ ﻣﺎﻫﺎﻧـﻪ ﺗﺎﻳﻴـﺪ ﻧـﺸﺪﻧﺪ‪.‬‬

‫‪www.SID.ir‬‬
‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‪ ،‬ﺳﺎﻝ ‪ ،١٤‬ﺷﻤﺎﺭﻩ ‪ ،۴۹‬ﭘﺎﻳﻴﺰ ‪١٣٨٦‬‬ ‫‪٤٢‬‬

‫ﺑﻨﺎﺑﺮﺍﻳﻦ ﺑﻪ ﻧﺘﻴﺠﻪﺍﻱ ﻣﺸﺎﺑﻪ ﻳﺎﻓﺘﻪﻫﺎﻱ ﺗﺎﻥ ﻭ ﻫﻤﮑـﺎﺭﺍﻥ ﺩﺭ ﺁﺯﻣـﻮﻥ ﻣـﺪﻝ ﺑـﺎ ﺩﺍﺩﻩﻫـﺎﻱ ﻫﻔﺘﮕـﻲ ﻭ‬
‫ﻣﺎﻫﺎﻧﻪ ﺩﺳﺖ ﻳﺎﻓﺘﻴﻢ‪ .‬ﻫﻤﺎﻥﻃﻮﺭﮐﻪ ﮔﻔﺘﻪ ﺷﺪ‪ ،‬ﺁﻧﻬﺎ ﻋﻘﻴﺪﻩ ﺩﺍﺷﺘﻨﺪ ﺗـﻮﺩﻩﻭﺍﺭﻱ ﭘﺪﻳـﺪﻩﺍﻱ ﺑـﺎ ﻋﻤـﺮ‬
‫ﮐﻮﺗﺎﻩﻣﺪﺕ ﺍﺳﺖ‪.‬‬

‫ﻧﮕﺎﺭﻩ )‪ :(٦‬ﻧﺘﺎﻳﺞ ﺭﮔﺮﺳﻴﻮﻥﻫﺎ ﺑﺮﺍﺳﺎﺱ ﺩﺍﺩﻩ ﻫﺎﻱ ﻫﻔﺘﮕﻲ ﻭ ﻣﺎﻫﺎﻧﻪ‬

‫‪DOWN‬‬ ‫‪UP‬‬ ‫ﺩﺭ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ‬ ‫ﻫﻔﺘﮕﻲ‬

‫‪α‬‬
‫‪۲/۱۵۵۷۹۸‬‬ ‫‪۲/۶۲۸۱۹‬‬ ‫‪۲/۴۷۴۱۵۶‬‬
‫*)‪(۸/۷۰۱۷۸۸‬‬ ‫* )‪(۱۵/۰۳۱۱۷‬‬ ‫*)‪(۱۸/۶۰۵۳۹‬‬
‫‪۰/۵۵۴۵۰۱‬‬ ‫‪۰/۵۸۹۹۷‬‬ ‫‪۰/۵۲۹۵۳۹‬‬
‫‪γ1‬‬
‫*)‪(۱/۳۹۸۵۸۶‬‬ ‫*)‪(۴/۲۰۳۱۸‬‬ ‫*)‪(۴/۷۶۵۹۰۳‬‬

‫‪D‬‬
‫‪۰/۰۱۹۴۸۳‬‬ ‫‪۰/۰۴۸۵۴۴‬‬ ‫‪۰/۰۵۶۷۶۵‬‬
‫)‪(۰/۱۴۱۴۹۵‬‬ ‫*)‪(۲/۴۴۲۳۱۹‬‬ ‫*)‪(۳/۳۴۷۳۷۹‬‬
‫‪γ2‬‬

‫‪SI‬‬
‫‪۱۵/۰۲۴۵۸‬‬ ‫‪۱۱۱/۹۹۰۴‬‬ ‫‪۱۵۷/۶۱۰۲‬‬ ‫‪F-statistic‬‬
‫‪۰/۳۰۴۷۱۹‬‬ ‫‪۰/۶۷۴۰۷‬‬ ‫‪۰/۶۴۴۶۳۶‬‬ ‫‪Adjusted‬‬
‫‪R-squared‬‬
‫‪DOWN‬‬ ‫‪UP‬‬ ‫ﺩﺭ ﺗﻮﺯﻳﻊ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ‬ ‫ﻣﺎﻫﺎﻧﻪ‬

‫‪α‬‬
‫‪۵/۸۰۷۳۷۴‬‬ ‫‪۶/۴۱۱۷۱۸‬‬ ‫‪۵/۸۱۸۴۵۲‬‬
‫‪of‬‬
‫*)‪(۳/۳۵۵۴۲۷‬‬ ‫*)‪(۶/۶۹۵۸۹۸‬‬ ‫*)‪(۶/۴۶۳۶۸۹‬‬
‫‪‐۰/۱۵۸۰۵۵‬‬ ‫‪۰/۳۳۳۷۹۱‬‬ ‫‪۰/۳۹۱۹۰۸‬‬
‫)‪(۰/۱۰۷۵۵۷‬‬ ‫*)‪(۲/۷۳۵۷۵۲‬‬ ‫*)‪(۴/۰۰۸۷۷۶‬‬
‫‪γ1‬‬
‫‪۰/۱۱۹۸۹۵‬‬ ‫‪۰/۰۱۶۵۲۳‬‬ ‫‪۰/۰۱۵۰۸۸‬‬
‫‪γ2‬‬
‫‪ive‬‬

‫)‪(۰/۴۳۴۷۹۱‬‬ ‫*)‪(۵/۳۳۷۵۲۹‬‬ ‫*)‪(۵/۷۰۲۰۶۲‬‬

‫‪۱/۸۱۷۲۵۲‬‬ ‫‪۸۶/۷۲۴۴۷‬‬ ‫‪۱۲۲/۹۶۳۷‬‬ ‫‪F-statistic‬‬
‫‪۰/۲۴۲۸۲۱‬‬ ‫‪۰/۸۷۷۲۰۶‬‬ ‫‪۰/۸۶۳۱۷۲‬‬ ‫‪Adjusted R-‬‬
‫‪squared‬‬
‫‪ch‬‬

‫* ﺩﺭ ﺳﻄﺢ ﺍﻃﻤﻴﻨﺎﻥ ‪٩٥‬ﺩﺭﺻﺪ ﻣﻌﻨﻲﺩﺍﺭ‬

‫‪ .٩‬ﻧﺘﻴﺠﻪﮔﻴﺮﻱ ﻭ ﭘﻴﺸﻨﻬﺎﺩﺍﺕ‬
‫ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻣﺪﻝﻫﺎﻱ ﻣﻮﺭﺩ ﺑﺮﺭﺳﻲ ﺍﻳﻦ ﺗﺤﻘﻴﻖ )ﻧﮕﺎﺭﻩ ‪ ٤‬ﺗﺎ ‪ (٦‬ﮐﻪ ﺣﺎﮐﻲ ﺍﺯ ﻧﺘـﺎﻳﺞ ﻣـﺸﺎﺑﻬﻲ‬
‫‪Ar‬‬

‫ﺑﻮﺩﻧﺪ‪ ،‬ﻣـﻲﺗـﻮﺍﻥ ﺍﺳـﺘﻨﺒﺎﻁ ﻧﻤـﻮﺩ ﻛـﻪ ﺩﺭ ﺑـﻮﺭﺱ ﺍﻭﺭﺍﻕ ﺑﻬـﺎﺩﺍﺭ ﺗﻬـﺮﺍﻥ ﺩﺭ ﺯﻣـﺎﻥ ﺍﻓـﻮﻝ‪ ،‬ﺳـﻄﺢ‬
‫ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ ﺷﺮﮐﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﮐﺎﻫﺶ ﻣﻲﻳﺎﺑﺪ‪ ،‬ﮐﻪ ﺑـﻪ ﻣﻨﺰﻟـﻪ ﺗـﺸﺎﺑﻪ ﺭﻓﺘـﺎﺭ‬
‫ﺑﺎﺯﺩﻩ ﺷﺮﮐﺖﻫﺎ ﺑﺎ ﺭﻓﺘﺎﺭ ﺑﺎﺯﺩﻩ ﮐﻞ ﺑﺎﺯﺍﺭ ﻣﻲﺑﺎﺷﺪ‪ ،‬ﮐﻪ ﺍﺯ ﺁﻥ ﻣـﻲﺗـﻮﺍﻥ ﺑـﻪ ﻋﻨـﻮﺍﻥ ﺷـﻮﺍﻫﺪﻱ ﺍﺯ‬
‫ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺍﻓﻮﻝ ﻳﺎﺩ ﮐﺮﺩ‪ .‬ﺍﻳﻦ ﻧﺘﻴﺠﻪ ﺑﺎ ﺑﺤﺜﻲ ﮐﻪ ﺗﻮﺳﻂ ﻣـﻚﻛـﻮﻳﻴﻦ‪ ،‬ﭘﻴﻨﮕـﺎﺭ ﻭ‬
‫ﺗﻮﻟﺮﻱ )‪ (١٩٩٦‬ﻣﻄﺮﺡ ﺷﺪ‪ ،‬ﺳﺎﺯﮔﺎﺭ ﺍﺳﺖ ]‪ .[۱۰‬ﺁﻧﻬﺎ ﻧﺸﺎﻥ ﺩﺍﺩﻧـﺪ‪ ،‬ﺗﻤـﺎﻣﻲ ﺳـﻬﻢﻫـﺎ ﺗﻤﺎﻳـﻞ ﺑـﻪ‬

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‫‪٤٣‬‬ ‫ﺑﺮﺭﺳﯽ ﻭ ﺁﺯﻣﻮﻥ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺎ ﺍﺳﺘﻔﺎﺩﻩ ﺍﺯ ﺍﻧﺤﺮﺍﻓﺎﺕ ﺑﺎﺯﺩﻩ ﺳﻬﺎﻡ‬

‫ﻧﺸﺎﻥ ﺩﺍﺩﻥ ﻭﺍﮐﻨﺶ ﺳﺮﻳﻊ ﺑﻪ ﺧﺒﺮﻫﺎﻱ ﮐﻼﻥ ﺍﻗﺘﺼﺎﺩﻱ ﻣﻨﻔﻲ ﺩﺍﺭﻧﺪ‪ ،‬ﻭﻟـﻲ ﺳـﻬﻢﻫـﺎﻱ ﮐﻮﭼـﮏ‬
‫ﺗﻤﺎﻳﻞ ﺑﻪ ﻧﺸﺎﻥ ﺩﺍﺩﻥ ﻭﺍﮐﻨﺶ ﺑﺎ ﺗﺎﺧﻴﺮ ﺑﻪ ﺍﺧﺒﺎﺭ ﮐـﻼﻥ ﺍﻗﺘـﺼﺎﺩﻱ ﻣﺜﺒـﺖ ﺩﺍﺭﻧـﺪ‪ .‬ﺑﺮﺍﺳـﺎﺱ ﻧﺘـﺎﻳﺞ‬
‫ﺣﺎﺻﻞ ﺍﺯ ﻓﺮﺿﻴﺎﺕ ﺗﺤﻘﻴﻖ ﻣﻲﺗﻮﺍﻥ ﻧﺘﻴﺠﻪ ﮔﺮﻓﺖ ﻣﺸﺎﺭﮐﺖﮐﻨﻨـﺪﮔﺎﻥ ﺩﺭ ﺑـﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬـﺎﺩﺍﺭ‬
‫ﺗﻬﺮﺍﻥ ﻋﻤﺪﺗﹰﺎ ﻧﺴﺒﺖ ﺑﻪ ﺧﺒﺮﻫﺎﻱ ﻣﻨﻔﻲ ﺍﺯ ﺟﻤﻠﻪ ﺧﺒﺮﻫﺎﻱ ﺳﻴﺎﺳﻲ‪ ،‬ﺍﻗﺘﺼﺎﺩﻱ‪ ،‬ﻣﺸﺎﻫﺪﻩ ﺻﻒﻫﺎﻱ‬
‫ﻓﺮﻭﺵ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ‪ ،‬ﺑﺎﺯﺩﻩ ﻣﻨﻔﻲ ﺑﺎﺯﺍﺭ ﻭ ‪ ...‬ﺑﻴﺸﺘﺮ ﻋﮑﺲﺍﻟﻌﻤﻞ ﻧﺸﺎﻥ ﻣﻲﺩﻫﻨﺪ ﻭ ﺍﻗﺪﺍﻡ ﺑﻪ ﺗﺒﻌﻴﺖ‬
‫ﺍﺯ ﺳﺎﻳﺮ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﺪﻭﻥ ﺩﺭ ﻧﻈﺮ ﮔﺮﻓﺘﻦ ﺍﻃﻼﻋﺎﺕ ﺷﺨـﺼﻲ ﺧـﻮﺩ ﻧﻤـﻮﺩﻩ‪ ،‬ﮐـﻪ ﺩﺭ ﻧﺘﻴﺠـﻪ‬
‫ﺑﺎﺯﺩﻫﻲ ﻧﺰﺩﻳﮏ ﺑﻪ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﮐﺴﺐ ﻣﻲﻧﻤﺎﻳﻨﺪ‪ .‬ﺣﺎﻝ ﺁﻧﮑـﻪ ﺩﺭ ﺗﻮﺯﻳـﻊ ﺑـﺎﺯﺩﻩ ﮐـﻞ ﺑـﺎﺯﺍﺭ ﻭ ﺩﺭ‬
‫ﺑﺎﺯﺍﺭ ﺭﻭ ﺑﻪ ﺭﺷﺪ )ﻣﺜﺒﺖ(‪ ،‬ﺑﺎﺯﺩﻩ ﺷﺮﻛﺖﻫﺎ ﺍﺯ ﺑﺎﺯﺩﻩ ﺑﺎﺯﺍﺭ ﺩﻭﺭ ﺷﺪﻩ ﻭ ﺳﻄﺢ ﺍﻧﺤﺮﺍﻓـﺎﺕ ﺍﻓـﺰﺍﻳﺶ‬

‫‪D‬‬
‫ﻳﺎﻓﺘﻪ ﺍﺳﺖ‪ .‬ﻻﺯﻡ ﺑﻪ ﺫﻛﺮ ﺍﺳﺖ ﻛـﻪ ﺑـﺎ ﺗﻮﺟـﻪ ﺑـﻪ ﺩﺍﺩﻩﻫـﺎﻱ ﻫﻔﺘﮕـﻲ ﻭ ﻣﺎﻫﺎﻧـﻪ ﻧﻴـﺰ ﺷـﻮﺍﻫﺪﻱ ﺍﺯ‬
‫ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﻫﺮ ﺩﻭ ﻣﺪﻝ ﺑﺪﺳﺖ ﻧﻴﺎﻣﺪ‪ ،‬ﻛﻪ ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻧﺘﺎﻳﺞ ﺣﺎﺻﻞ ﺍﺯ ﺗﺤﻘﻴﻘـﺎﺕ ﻛﺮﻳـﺴﺘﻲ ﻭ‬

‫‪SI‬‬
‫ﻫﻮﺍﻧﮓ ﻭ ﺗﺎﻥ ﻭ ﻫﻤﻜﺎﺭﺍﻥ‪ ،‬ﻣﻲﺗﻮﺍﻥ ﻧﺘﻴﺠﻪ ﮔﺮﻓﺖ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﻧﻴﺰ‬
‫ﭘﺪﻳﺪﻩﺍﻱ ﺑﺎ ﻋﻤﺮ ﻛﻮﺗﺎﻩ ﺍﺳﺖ‪.‬‬
‫ﺍﻳﻦ ﺗﺤﻘﻴﻖ ﺍﺯ ﺟﻤﻠﻪ ﻣﻄﺎﻟﻌﺎﺗﻲ ﺍﺳﺖ ﮐﻪ ﻧﺘﺎﻳﺞ ﺁﻥ ﺑﻴﺸﺘﺮ ﺑﺎﻳﺪ ﻣﻮﺭﺩ ﺗﻮﺟﻪ ﺳﻴﺎﺳﺖﮔﺬﺍﺭﺍﻥ‬
‫‪of‬‬
‫ﺑﺎﺯﺍﺭ ﺳﺮﻣﺎﻳﻪ ﻗﺮﺍﺭ ﮔﻴﺮﺩ‪ .‬ﺯﻳﺮﺍ ﺭﻓﺘﺎﺭ ﺗﻮﺩﻩﻭﺍﺭ ﺩﺭ ﺑﺎﺯﺍﺭ ﻣﻲﺗﻮﺍﻧﺪ ﻣﻨﺠﺮ ﺑﻪ ﺍﻓﺰﺍﻳﺶ ﻧﻮﺳﺎﻧﺎﺕ ﻗﻴﻤﺖ‬
‫ﺳﻬﺎﻡ ﮔﺮﺩﺩ‪ .‬ﻭﺿﻌﻴﺖ ﻧﺎﻣﻨﺎﺳﺐ ﺍﻃﻼﻉﺭﺳﺎﻧﻲ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﻭ ﻋﺪﻡ ﺷﻔﺎﻓﻴﺖ‬
‫ﮐﺎﻓﻲ ﺩﺭ ﺑﺎﺯﺍﺭ‪ ،‬ﻓﻘﺪﺍﻥ ﻗﻮﺍﻧﻴﻦ ﺍﻟﺰﺍﻡﺁﻭﺭ ﺩﺭ ﺟﻬﺖ ﺍﺭﺍﺋﻪ ﺻﺤﻴﺢ ﺍﻃﻼﻋﺎﺕ‪ ،‬ﻣﺸﺨﺺ ﻧﺒﻮﺩﻥ‬
‫‪ive‬‬

‫ﻣﺮﺍﮐﺰ ﻧﻈﺎﺭﺗﻲ ﻭ ﻋﺪﻡ ﭘﻴﮕﻴﺮﻱ ﻣﺮﺍﺟﻊ ﺫﻱﺻﻼﺡ‪ ،‬ﻫﻤﺨﻮﺍﻥ ﻧﺒﻮﺩﻥ ﻧﻴﺎﺯﻫﺎﻱ ﺍﻃﻼﻋﺎﺗﻲ‬
‫ﺳﻬﺎﻣﺪﺍﺭﺍﻥ ﺑﺎ ﺍﻃﻼﻋﺎﺕ ﻣﻮﺟﻮﺩ‪ ،‬ﻧﺎﻫﻤﮕﻮﻧﻲ‪ ،‬ﻧﻘﺺ‪ ،‬ﻧﺎﺩﺭﺳﺘﻲ ﻭ ﻧﺤﻮﻩ ﻧﺎﻣﻨﻈﻢ ﺍﺭﺍﺋﻪ ﻭ ﺍﻧﺘﺸﺎﺭ‬
‫ﺍﻃﻼﻋﺎﺕ ﺍﺯ ﺟﻤﻠﻪ ﻋﻮﺍﻣﻠﻲ ﺍﺳﺖ ﮐﻪ ﺳﺒﺐ ﻣﻲﺷﻮﺩ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﺑﻪ ﺗﻘﻠﻴﺪ ﺍﺯ ﻳﮑﺪﻳﮕﺮ‬
‫‪ch‬‬

‫ﺑﭙﺮﺩﺍﺯﻧﺪ‪ .‬ﺑﻨﺎﺑﺮﺍﻳﻦ ﺗﻮﺻﻴﻪ ﻣﻲﮔﺮﺩﺩ ﺳﻴﺎﺳﺖﮔﺬﺍﺭﺍﻥ ﺑﺎﺯﺍﺭ ﺳﺮﻣﺎﻳﻪ ﺍﻳﺮﺍﻥ ﺗﻮﺟﻪ ﺑﻴﺸﺘﺮﻱ ﺑﻪ‬
‫ﺍﻃﻼﻉﺭﺳﺎﻧﻲ ﺻﺤﻴﺢ ﻭ ﺭﻓﻊ ﻋﺪﻡ ﺗﻘﺎﺭﻥ ﺍﻃﻼﻋﺎﺗﻲ ﺩﺭ ﺑﺎﺯﺍﺭ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ‬
‫ﻣﺒﺬﻭﻝ ﺩﺍﺭﻧﺪ‪ .‬ﺍﺯ ﺟﻤﻠﻪ ﻣﻮﺍﺭﺩ ﺩﻳﮕﺮﻱ ﮐﻪ ﺑﻪ ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﺩﺍﻣﻦ‬
‫‪Ar‬‬

‫ﻣﻲﺯﻧﺪ ﻭ ﺑﺎﻳﺪ ﻣﺪﻧﻈﺮ ﻗﺮﺍﺭ ﮔﻴﺮﺩ‪ .‬ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻧﺘﺎﻳﺞ ﺗﺤﻘﻴﻖ ﺣﺎﺿﺮ‪ ،‬ﺍﺯ ﺁﻧﺠﺎﻳﻲﮐﻪ ﺷﻮﺍﻫﺪ‬
‫ﺗﻮﺩﻩﻭﺍﺭﻱ ﺩﺭ ﺩﻭﺭﺍﻥ ﺭﮐﻮﺩ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ ﺑﻪ ﭼﺸﻢ ﻣﻲﺧﻮﺭﺩ‪ ،‬ﻟﺬﺍ ﺍﻧﺪﻳﺸﻴﺪﻥ‬
‫ﺗﻤﻬﻴﺪﺍﺗﻲ ﺑﺮﺍﻱ ﮐﺎﻫﺶ ﺗﻨﺶ ﺑﺎﺯﺍﺭ ﻭ ﺭﺍﻫﻨﻤﺎﻳﻲ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ ﻭ ﺍﻃﻼﻉﺭﺳﺎﻧﻲ ﻣﻨﺎﺳﺐ ﺩﺭ ﺍﻳﻦ‬
‫ﺷﺮﺍﻳﻂ ﻣﻲﺗﻮﺍﻧﺪ ﻣﻮﺟﺐ ﮐﺎﻫﺶ ﺭﻓﺘﺎﺭﻫﺎﻱ ﺍﺣﺴﺎﺳﻲ ﻭ ﺑﻌﻀﺎ ﻏﻴﺮ ﻋﻘﻼﻳﻲ ﺳﺮﻣﺎﻳﻪﮔﺬﺍﺭﺍﻥ‬
‫ﮔﺮﺩﺩ‪.‬‬

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١٣٨٦ ‫ ﭘﺎﻳﻴﺰ‬،۴۹ ‫ ﺷﻤﺎﺭﻩ‬،١٤ ‫ ﺳﺎﻝ‬،‫ﺑﺮﺭﺳﯽﻫﺎﯼ ﺣﺴﺎﺑﺪﺍﺭﯼ ﻭ ﺣﺴﺎﺑﺮﺳﯽ‬ ٤٤

‫ﻣﻨﺎﺑﻊ‬
،‫ ﻣﺠﻠﻪ ﺗﺤﻘﻴﻘﺎﺕ ﻣﺎﻟﻲ‬،«‫ »ﺗﻘﺎﺑﻞ ﻧﻈﺮﻳﻪ ﻧﻮﻳﻦ ﻣﺎﻟﻲ ﻭ ﻣﺎﻟﻲ ﺭﻓﺘﺎﺭﻱ‬.(١٣٨٣) .‫ ﺍﺣﻤﺪ‬،‫ ﺗﻠﻨﮕﻲ‬.١
.١٧ ‫ ﺷﻤﺎﺭﻩ‬،‫ﺩﺍﻧﺸﮕﺎﻩ ﺗﻬﺮﺍﻥ‬

‫ »ﺍﺭﺯﻳﺎﺑﻲ ﻭﺍﻛﻨﺶ ﺑﻴﺶ ﺍﺯ ﺍﻧﺪﺍﺯﻩ‬.(١٣٨٤) .‫ ﻣﻬﺪﻱ‬،‫ ﻣﺤﻤﺪﺭﺿﺎ ﻭ ﻣﺮﺍﺩﻱ‬،‫ ﻧﻴﻜﺒﺨﺖ‬.٢

‫ ﻓﺼﻞ ﻧﺎﻣﻪ ﺑﺮﺭﺳﻲﻫﺎﻱ ﺣﺴﺎﺑﺪﺍﺭﻱ ﻭ‬،«‫ﺳﻬﺎﻣﺪﺍﺭﺍﻥ ﻋﺎﺩﻱ ﺩﺭ ﺑﻮﺭﺱ ﺍﻭﺭﺍﻕ ﺑﻬﺎﺩﺍﺭ ﺗﻬﺮﺍﻥ‬
.١٢٢‐٩٧ ‫ ﺹ ﺹ‬،٤٠ ‫ ﺷﻤﺎﺭﻩ‬،‫ﺣﺴﺎﺑﺮﺳﻲ‬
3. Barberis, N. and Thaler, R. (2003). "A Survey of Behavioral Finance",

D
Handbook of the Economics of Finance, Elsevier Science.
4. Bikhchandani, S. and Sharma, S. (2001). "Herd Behavior in Financial
Markets", IMF Staff Papers, Vol. 47, No. 3, pp: 279- 310.

SI
5. Christie, W. G. and Huang, R. D. (1995). “Following the Pied Piper: Do
Individual Returns Herd around the Market?”, Financial Analyst Journal,
Vol. 51, No. 4, pp: 31- 37.
6. Demirer, R. and Kutan, A. M. (2005). “Does Herding Behavior Exist in
of
Chinese Stock Markets?”, Journal of International Financial Markets,
Institutions and Money, Vol. 16, No. 2, pp: 123- 142.
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ive

8. Hirshleifer, D. and Hong Teoh, S. (2001). “Herd Behavior and

Cascading in Capital Markets: A Review and Synthesis”, A European
Financial Management, Vol. 9, No. 1, pp: 25- 66.
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and Change of Investor Behavior During and After the Speculative at the
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End of the 1990s”, Master’s Thesis in Finance, School of Economic and

Management, Lund university.
10. McQueen, G.; Pinegar, M. A. and Thorley, S. (1996). “Delayed Reaction
to Good News and the Cross Autocorrelation of Portfolio Returns”,
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Journal of Finance. Vol. 51, pp: 889- 919.

11. Scharfstein, D. and Stein, J. (1990). “Herd behavior and Investment”,
American Economic Review, Vol. 80, No. 3, pp: 465- 479.
12. Tan, L.; Chiang, T.; Mason, J. and Nelling, E. (2007). “Herding
Behavior in Chinese Stock Markets: An Examination of A and B
Shares”, Pacific Basin Finance Journal.

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