The impact of marginal returns of stocks and investors' expectations on stock market uncertainty

سال انتشار: 1402
محل انتشار: بیستمین کنفرانس بین المللی پژوهش در مدیریت، اقتصاد و توسعه
کد COI اختصاصی: ICMET20_112
زبان مقاله: انگلیسی
تعداد مشاهده: 164

نویسندگان

Master of Economic Sciences

چکیده

Most investors deal with a problem nowadays due to excessive dependence on return facts and figures, and abnormal accounting profits when they want to decide on investment processes. Stock market liquidity, reduction in future volatilities in the stock market, and selection of capital structure are substantial factors because investment efficiency, improved economic conditions, and stock price dynamism become actual when producers, investors, and participants are aware of prices in the market. It means that market information reflects prices. The information enhances individuals' investment in better decision-making. However, lack of transparency and future oscillations in the stock market cause higher trade costs and loss, lower liquidity, less stock return, weaker market systems, and lower trading profit. The mentioned trades disturb market transparency and investors' security. Hence, investigation of abnormal stock returns and investors' expectations for future volatilities in the stock market play a vital role in keeping stability in the capital market, which is one of the most important financial markets. The extant study analyzed information from ۱۳۰ firms listed on the Tehran Stock Exchange from ۲۰۱۰ to ۲۰۲۲ to examine the impact of abnormal stock returns and investors' expectations on future volatilities in the stock market by using Bayesian VAR impulse models. The results of the model estimate indicated that abnormal returns had a positive and significant impact on future volatilities in stock markets reflecting the influence of abnormal returns in creating fluctuation in the market.

کلیدواژه ها

Abnormal Stock Return, Investors' Expectations, Future Volatilities, Bayesian VAR Impulse ModelsJEL Classification: C۳۳, C۳۶, D۳۱, F۴۳

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