تاثیر تابع سرمایه گذاری با توجه به هزینه های تعدیل در بخش صنعت بر بازده سهام Journal Article

Writer: ارمغان، پیمان ؛ دامن کشیده، مرجان ؛ شجاعی، معصومه ؛

Corresponding Author: هادی نژاد، منیژه ؛

مطالعات و سیاست های اقتصادی بهار و تابستان 1401 - شماره 17 Ranking ب (Ministry of Science (‎28 page(s) - From 142 to 169 )

Keywords: صنعت سرمایه گذاری بازده سهام هزینه های تعدیل مدل تغییر رژیم مارکوف سوئیچینگ adjustment costs Markov switching regime change model industry Stock Returns Investment

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Abstract:

In this study, we seek to answer the question of what effect investment has on stock returns, given the volatile market and the impact of a variety of crises, given the adjustment costs. For this purpose, using the rotary model and changing the Markov switching diet, the present topic for the period of 1370 to 1397 in the Iranian economy is examined. The results of Marcov's estimation of the period of recession and prosperity show; Positive oil shocks during the boom (second regime) have a positive effect on stock returns. Also, financial crises, sanctions and investment, despite the cost of adjusting, have a negative effect on stock returns in both periods of recession and prosperity. According to the model estimates, the economic downturn in the recession for the period under review in the present study is 18 periods of recession versus 9 periods of boom, which in turn increases the investment risk with the current situation. Therefore, it is suggested that in the event of oil shocks, financial crises and increased investment adjustment costs, the government and the central bank should preferably implement their policy in times of recession, because in these periods the economy has potential.