تاثير شوك نقد شوندگي وحباب هاي سهام بر پيش بيني شاخص قيمت سهام در بورس اوراق بهادار تهران

Impact of cash flow shock and stock prices on stock price forecast In the Tehran Stock Exchange

هدف اصلي در اين پژوهش بررسي تأثير شوك نقد شوندگي و حباب‌هاي سهام بر پيش‌‌‌بيني شاخص قيمت سهام در بورس اوراق بهادار تهران ‌‌مي‌باشد‌‌. دوره مورد بررسي در اين پژوهش از ابتداي سال 1390 تا انتهاي سال 1396 به‌صورت داده‌‌هاي سالانه ‌‌مي‌باشد‌‌. براي بررسي از روش اقتصادسنجي پانل ديتا استفاده شده است‌‌. پس از تجزيه‌وتحليل آماري نتيجه‌گيري شده است كه نقدشوندگي و حباب قيمتي تأثير مثبتي بر پيش‌‌‌بيني شاخص قيمت سهام دارند. با توجه به تأثير مثبت حباب قيمتي بر شاخص قيمت سهام مي‌توان نتيجه گرفت قيمت پيش‌‌‌بيني شده در زمان حباب قيمتي از قيمت واقعي بيشتر است و اين خود موجب شرايط تورمي شديد‌‌‌‌تر و نابساماني در بازار مالي مي‌گردد‌‌.

The main purpose of this research is to investigate the effect of cash flow shock and stock prices on prediction of stock price index in Tehran Stock Exchange. The study period in this study was seasonal data from the beginning of the year 2011 to the end of 2017 and the number of observations for each of the variables examined is 68. To investigate the least squares and all relevant tests were used. After statistical analysis, it is concluded that there is a relationship between stock price deviation with the creation of a bubble in the stock market of Tehran. There is also a relationship between liquidity and price bubbles in the Tehran Stock Exchange. an‎d in the study of the predictive power of the model The regression revealed that the standard deviation of the forecast in high fluctuation periods is high and the regression model introduced in times of crisis and price bubbles calculates the amount of bubbles more than its actual value. In fact, the predicted price is always in the bubble period The price is higher than real prices, and this results in more severe inflationary conditions in the financial market.