فایلوو

سیستم یکپارچه همکاری در فروش فایل

فایلوو

سیستم یکپارچه همکاری در فروش فایل

ﺗﺄﺛﻴﺮ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ ﺑﺮ ﺑﺎزده ﺳﻬﺎم ﺷﺮﻛﺖ ﻫﺎی داروﻳﻲ و ﺷﻴﻤﻴﺎﻳﻲ ﺑﺎ اﺳﺘﻔﺎده از ﺗﺤﻠﻴﻞ ﻣﻮﺟﻚ در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان (ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻧﻮ

ﺗﺄﺛﻴﺮ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ ﺑﺮ ﺑﺎزده ﺳﻬﺎم ﺷﺮﻛﺖ ﻫﺎی داروﻳﻲ و ﺷﻴﻤﻴﺎﻳﻲ ﺑﺎ اﺳﺘﻔﺎده از ﺗﺤﻠﻴﻞ ﻣﻮﺟﻚ در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان (ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻧﻮﺳﺎن ﭘﺬﻳﺮی ﺑﺎزده)
ﺗﺄﺛﻴﺮ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ ﺑﺮ ﺑﺎزده ﺳﻬﺎم ﺷﺮﻛﺖ ﻫﺎی داروﻳﻲ و ﺷﻴﻤﻴﺎﻳﻲ ﺑﺎ اﺳﺘﻔﺎده از ﺗﺤﻠﻴﻞ ﻣﻮﺟﻚ در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان (ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻧﻮﺳﺎن ﭘﺬﻳﺮی ﺑﺎزده) - پایان نامه فوق العاده ارشد ﺗﺄﺛﻴﺮ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ ﺑﺮ ﺑﺎزده ﺳﻬﺎم ﺷﺮﻛﺖ ﻫﺎی داروﻳﻲ و ﺷﻴﻤﻴﺎﻳﻲ ﺑﺎ اﺳﺘﻔﺎده از ﺗﺤﻠﻴﻞ ﻣﻮﺟﻚ در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان (ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻧﻮﺳﺎن ﭘﺬﻳﺮی ﺑﺎزده) The Impact of Systemic Risk on Stock Returns Pharmaceutical Companies and Chemical Companies With The Wavelet Analysis in Tehran Stock Exchange



ﺗﺄﺛﻴﺮ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ ﺑﺮ ﺑﺎزده ﺳﻬﺎم ﺷﺮﻛﺖ ﻫﺎی داروﻳﻲ و ﺷﻴﻤﻴﺎﻳﻲ ﺑﺎ اﺳﺘﻔﺎده از ﺗﺤﻠﻴﻞ ﻣﻮﺟﻚ در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان (ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻧﻮﺳﺎن ﭘﺬﻳﺮی ﺑﺎزده) The Impact of Systemic Risk on Stock Returns Pharmaceutical Companies and Chemical Companies With The Wavelet Analysis in Tehran Stock Exchange
Abstract This study examines the relationship between stock returns and systematic risk in the medium and long term time period and evaluate the effect of market volatility on the relationship in the pharmaceutical companies and chemical companies accepted in Tehran Stock Exchange for the period 1387 to 1392. Capital market is one of the most important issues is the relationship between risk and return, especially systemic risk. It is believed that the return on equity is only a function of systemic risk. Much research has been done to examine the relationship between risk and return. Among these efforts, the research that was done by Sharp. He introduced the Model CAPM(The capital asset pricing model) assumes that a simple linear relationship between systematic risk and stock returns are positive. In order to test hypotheses based on the research of the pharmaceutical and chemical industry index Varayans two periods of high volatility and low volatility divided. Data of systematic risk and stock returns in periods of high volatility and low volatility by using wavelet transform overlap (DWT) and the wavelet Dabshyz 4 using MATLAB software period is smaller parsed, then to test the hypothesis ¬ study, regression analysis is used. Research hypothesis test results indicate a significant relationship between systematic risk and return in periods of high volatility and long-term vision and long term there. Also In periods of low volatility in the medium term time horizon, there is a significant relationship between systematic risk and return, but only in the long-term time horizon of 182 days, seems to prove the relationship between risk and return. Key words: Systemic Risk, Indicators of systemic Risk (Beta), Teturn on Equity, Wavelet Analysis
ﻓﻬﺮﺳﺖ ﻣﻄﺎﻟﺐ ﻋﻨﻮان ﺻﻔﺤﻪ ﭼﻜﻴﺪه.................................................................................................................................................1 ﻓﺼﻞ اول: ﻛﻠﻴﺎت ﭘﮋوﻫﺶ..............................................................................................................................2 3.....................................................................................................................................................ﻣﻘﺪﻣﻪ 1-1 2-1 ﺗﻌﺮﻳﻒ و ﺑﻴﺎن ﻣﺴﺌﻠﻪ ﭘﮋوﻫﺶ..................................................................................................4 3-1 ﺿﺮورت و اﻫﻤﻴﺖ ﭘﮋوﻫﺶ....................................................................................................................5 6......................................................................................................................................ﭘﮋوﻫﺶ اﻫﺪاف 4-1 6 ................................................................................................................... ﭘﮋوﻫﺶ اﺻﻠﻲ ﻫﺪف 1-4-1 6 ................................................................................................................. ﭘﮋوﻫﺶ ﻓﺮﻋﻲ اﻫﺪاف 2-4-1 7....................................................................................................................................ﭘﮋوﻫﺶ ﺳﺆاﻻت 5-1 7................................................................................................................................ﭘﮋوﻫﺶ ﻓﺮﺿﻴﻪﻫﺎی 6-1 7-1 ﻣﺪل ﻣﻔﻬﻮﻣﻲ ﭘﮋوﻫﺶ.............................................................................................................................8 8..................................................................................................................................ﭘﮋوﻫﺶ ﻣﺘﻐﻴﺮﻫﺎی 8-1 9..................................................................................................................................ﻣﺴﺘﻘﻞ ﻣﺘﻐﻴﺮ 1-8-1 9...................................................................................................................................واﺑﺴﺘﻪ ﻣﺘﻐﻴﺮ 2-8-1 9-1 ﺟﻨﺒﻪ ﺟﺪﻳﺪ ﺑﻮدن و ﻧﻮآوری ﭘﮋوﻫﺶ......................................................................................................9 9..................................................................................................................................ﭘﮋوﻫﺶ ﻗﻠﻤﺮوی 10-1ح ﻓﻬﺮﺳﺖ ﻣﻄﺎﻟﺐ ﻋﻨﻮان ﺻﻔﺤﻪ 9.............................................................................................................ﭘﮋوﻫﺶ ﻣﻮﺿﻮﻋﻲ ﻗﻠﻤﺮو 1-10-1 9..................................................................................................................ﭘﮋوﻫﺶ ﻣﻜﺎﻧﻲ ﻗﻠﻤﺮو 2-10-1 10.................................................................................................................ﭘﮋوﻫﺶ زﻣﺎﻧﻲ ﻗﻠﻤﺮو 3-10-1 10......................................................................................................................................ﺗﺤﻘﻴﻖ روش 11-1 12-1 اﺑﺰار ﮔﺮدآوری اﻃﻼﻋﺎت و روش ﺗﺠﺰﻳﻪ و ﺗﺤﻠﻴﻞ آن........................................................................10 13-1 ﺗﻌﺮﻳﻒ واژﮔﺎن ﻛﻠﻴﺪی.......................................................................................................................11 14-1 ﺳﺎﺧﺘﺎر ﻛﻠﻲ ﭘﮋوﻫﺶ..........................................................................................................................12 13.....................................................................................................................................ﻓﺼﻞ ﺧﻼﺻﻪ 15-1 ﻓﺼﻞ دوم: ﻣﺒﺎﻧﻲ ﻧﻈﺮی و ﭘﻴﺸﻴﻨﻪ ﭘﮋوﻫﺶ....................................................................................................14 15...................................................................................................................................................ﻣﻘﺪﻣﻪ 1-2 2-2 ﻣﺒﺎﻧﻲ ﻧﻈﺮی ﺗﺤﻘﻴﻖ...............................................................................................................................16 20.........................................................................................................................................ﻣﺎﻟﻲ رﻳﺴﻚ 3-2 21........................................................................................................................ﻣﺎﻟﻲ رﻳﺴﻚ ﻣﻨﺎﺑﻊ 1-3-2 22........................................................................................................................ﻣﺎﻟﻲ رﻳﺴﻚ اﻧﻮاع 2-3-2 4-2 روشﻫﺎی ﭘﻴﺶﺑﻴﻨﻲ ﻗﻴﻤﺖ اوراق ﺑﻬﺎدار...............................................................................................26 1-4-2 روش ﭘﺮﺗﻔﻮی ﻳﺎ ﺗﺌﻮری ﮔﺸﺖ ﺗﺼﺎدﻓﻲ.......................................................................................26ط ﻓﻬﺮﺳﺖ ﻣﻄﺎﻟﺐ ﻋﻨﻮان . ﺻﻔﺤﻪ 2-4-2 روش اﺳﺎﺳﻲ ﻳﺎ ﺗﺠﺰﻳﻪ و ﺗﺤﻠﻴﻞ ﺑﻨﻴﺎدی.......................................................................................27 3-4-2 روش ﻧﻤﻮداری ﻳﺎ ﺗﺠﺰﻳﻪ و ﺗﺤﻠﻴﻞ ﺗﻜﻨﻴﻜﻲ..................................................................................28 5-2 ﺑﺮﺧﻲ از اﺻﻄﻼﺣﺎت ﺳﺮﻣﺎﻳﻪﮔﺬاری.....................................................................................................28 29...............................................................................................................................ﻣﺎﻟﻲ ﻧﻬﺎدﻫﺎی 1-5-2 29.......................................................................................................................رﻳﺴﻚ ﺑﺪون ﺑﺎزده 2-5-2 29.........................................................................................................................................رﻳﺴﻚ 3-5-2 29................................................................................................................ﻏﻴﺮﺳﻴﺴﺘﻤﺎﺗﻴﻚ رﻳﺴﻚ 4-5-2 30.....................................................................................................................ﺳﻴﺴﺘﻤﺎﺗﻴﻚ رﻳﺴﻚ 5-5-2 30.....................................................................................................................................ﺑﺘﺎ ﻓﺎﻛﺘﻮر 6-5-2 30.................................................................................................................................ﺑﺎزار رﻳﺴﻚ 7-5-2 8-5-2 ﻣﺪل ﻗﻴﻤﺖﮔﺬاری داراﻳﻲﻫﺎی ﺳﺮﻣﺎﻳﻪای......................................................................................31 31............................................................................................................................ﻛﺎرا ﺑﺎزار ﻧﻈﺮﻳﻪ 9-5-2 10-5-2 اﺷﻜﺎل ﻣﺨﺘﻠﻒ ﺑﺎزار ﻛﺎرا...........................................................................................................32 32.........................................................................................................ﻛﺎرا ﺑﺎزار ﻗﻮی ﺷﻜﻞ 1-10-5-2 2-10-5-2 ﺷﻜﻞ ﻧﻴﻤﻪ ﻗﻮی ﺑﺎزار ﻛﺎرا.................................................................................................33 33.....................................................................................................ﻛﺎرا ﺑﺎزار ﺿﻌﻴﻒ ﺷﻜﻞ 3-10-5-2 ی ﻓﻬﺮﺳﺖ ﻣﻄﺎﻟﺐ ﻋﻨﻮان ﺻﻔﺤﻪ 6-2 ﻋﻮاﻣﻞ ﻣﺆﺛﺮ ﺑﺮ رﻳﺴﻚ و ﺑﺎزده ﺳﺮﻣﺎﻳﻪﮔﺬاری در ﻣﺤﺼﻮﻻت ﻣﺎﻟﻲ........................................................33 34.................................................................................................................................ﻛﻼن ﻋﻮاﻣﻞ 1-6-2 1-1-6-2 ﺳﻴﺎﺳﺖﻫﺎ و ﺧﻂ ﻣﺸﻲﻫﺎی دوﻟﺖ.......................................................................................34 34.................................................................................................اﺟﺘﻤﺎﻋﻲ و ﻓﺮﻫﻨﮕﻲ ﻋﻮاﻣﻞ 2-1-6-2 35..................................................................................................................ﺻﻨﻌﺖ وﺿﻌﻴﺖ 3-1-6-2 4-1-6-2 ﺷﺮاﻳﻂ اﻗﺘﺼﺎدی و دورانﻫﺎی ﺗﺠﺎری و ﻣﺎﻟﻲ......................................................................35 36..................................................................................................................................ﺧﺮد ﻋﻮاﻣﻞ 2-6-2 1-2-6-2 ﻣﻴﺰان ﺗﻘﺎﺿﺎ و ﻛﺸﺶ ﻛﺎﻻی ﺗﻮﻟﻴﺪی ﺷﺮﻛﺖ.......................................................................36 2-2-6-2 ﺳﻴﺎﺳﺖﻫﺎ و ﺧﻂ ﻣﺸﻲﻫﺎی ﻣﺪﻳﺮﻳﺖ...................................................................................36 3-2-6-2 وﺿﻌﻴﺖ ﻣﺎﻟﻲ و ﺣﺴﺎبﻫﺎی ﺷﺮﻛﺖ...................................................................................37 4-2-6-2 ﻣﻴﺰان واﺑﺴﺘﮕﻲ ﺗﻮﻟﻴﺪ ﺷﺮﻛﺖ ﺑﻪ ﻋﻮاﻣﻞ ﺣﻴﺎﺗﻲ و ﺑﻪ ﺧﺎرج، وﺿﻌﻴﺖ ﻋﻤﻮﻣﻲ و ﺟﻬﺎﻧﻲ ﻣﻨﺎﺑﻊ...................38 38......................................................................................................................ﻏﻴﺮاﻗﺘﺼﺎدی ﻋﻮاﻣﻞ 3-6-2 38..................................................................................................................رﻳﺴﻚ ﺑﻪ ﺗﻤﺎﻳﻞ 1-3-6-2 38......................................................................................................................رﻳﺴﻚ ادراک 2-3-6-2 41.........................................................................................................اﻧﺘﻈﺎر ﻣﻮرد ﺑﺎزده ﻧﺮخ 3-3-6-2 4-3-6-2 ﺗﺠﺮﺑﻪ و داﻧﺶ ﺳﺮﻣﺎﻳﻪﮔﺬاری ﺳﺮﻣﺎﻳﻪﮔﺬاران.......................................................................41ک ﻓﻬﺮﺳﺖ ﻣﻄﺎﻟﺐ ﻋﻨﻮان ﺻﻔﺤﻪ 7-2 ﻣﺮوری ﺑﺮ ﻣﻄﺎﻟﻌﺎت ﺗﺠﺮﺑﻲ..................................................................................................................41 1-7-2 ﺗﺤﻘﻴﻘﺎت اﻧﺠﺎمﺷﺪه در ﺧﺎرج از ﻛﺸﻮر........................................................................................41 2-7-2 ﺗﺤﻘﻴﻘﺎت ﺻﻮرت ﮔﺮﻓﺘﻪ در داﺧﻞ ﻛﺸﻮر.....................................................................................44 49.......................................................................................................................................ﻓﺼﻞ ﺧﻼﺻﻪ 8-2 ﻓﺼﻞ ﺳﻮم: روش ﺷﻨﺎﺳﻲ ﭘﮋوﻫﺶ................................................................................................................50 51...................................................................................................................................................ﻣﻘﺪﻣﻪ 1-3 52........................................................................................................................................ﺗﺤﻘﻴﻖ روش 2-3 52.....................................................................................................................................ﭘﮋوﻫﺶ ﻗﻠﻤﺮو 3-3 53................................................................................................................................زﻣﺎﻧﻲ ﻗﻠﻤﺮو 1-3-3 53..........................................................................................................................ﻣﻮﺿﻮﻋﻲ ﻗﻠﻤﺮو 2-3-3 53................................................................................................................................ﻣﻜﺎﻧﻲ ﻗﻠﻤﺮو 3-3-3 4-3 روش ﺟﻤﻊآوری اﻃﻼﻋﺎت...................................................................................................................53 53..............................................................................................................اﻃﻼﻋﺎت ﮔﺮدآوری اﺑﺰار 1-4-3 54.............................................................................................................اﻃﻼﻋﺎت ﮔﺮدآوری ﺷﻴﻮه 2-4-3 3-4-3 رواﻳﻲ و اﻋﺘﺒﺎر دادهﻫﺎ...................................................................................................................54 5-3 ﺟﺎﻣﻌﻪ و ﻧﻤﻮﻧﻪ آﻣﺎری...........................................................................................................................54ل ﻓﻬﺮﺳﺖ ﻣﻄﺎﻟﺐ ﻋﻨﻮان ﺻﻔﺤﻪ 6-3 اﻫﺪاف ﻣﺸﺨﺺ ﭘﮋوﻫﺶ......................................................................................................................55 56...................................................................................................................ﭘﮋوﻫﺶ اﺻﻠﻲ ﻫﺪف 1-6-3 56..................................................................................................................ﭘﮋوﻫﺶ ﻓﺮﻋﻲ اﻫﺪاف 2-6-3 56..................................................................................................................................ﭘﮋوﻫﺶ ﺳﺆاﻻت 7-3 57..............................................................................................................................ﭘﮋوﻫﺶ ﻓﺮﺿﻴﻪﻫﺎی 8-3 57........................................................................................................................................ﭘﮋوﻫﺶ ﻣﺪل 9-3 58..............................................................................................................................ﭘﮋوﻫﺶ ﻣﺘﻐﻴﺮﻫﺎی 10-3 58..............................................................................................................................ﻣﺴﺘﻘﻞ ﻣﺘﻐﻴﺮ 1-10-3 60..............................................................................................................................واﺑﺴﺘﻪ ﻣﺘﻐﻴﺮ 2-10-3 11-3 روش ﺗﺠﺰﻳﻪ و ﺗﺤﻠﻴﻞ دادهﻫﺎ.............................................................................................................61 62..............................................................................................................................ﻃﻴﻔﻲ ﺗﺤﻠﻴﻞ 1-11-3 62......................................................................................................ﻃﻴﻔﻲ ﺗﺤﻠﻴﻞ ﻣﺤﺪودﻳﺖﻫﺎی 2-11-3 63...........................................................................................................................ﻣﻮﺟﻚ ﺗﺤﻠﻴﻞ 3-11-3 65..............................................................................................................................ﻓﻮرﻳﻪ ﺗﺒﺪﻳﻞ 4-11-3 67................................................................................................................ﭘﻨﺠﺮهای ﻓﻮرﻳﻪ ﺗﺒﺪﻳﻞ 5-11-3 69................................................................................................................ﭘﻴﻮﺳﺘﻪ ﻣﻮﺟﻚ ﺗﺒﺪﻳﻞ 6-11-3 م ﻓﻬﺮﺳﺖ ﻣﻄﺎﻟﺐ ﻋﻨﻮان ﺻﻔﺤﻪ 73...............................................................................................................ﮔﺴﺴﺘﻪ ﻣﻮﺟﻚ ﺗﺒﺪﻳﻞ 7-11-3 8-11-3 ﺗﺒﺪﻳﻞ ﻣﻮﺟﻚ ﺣﺪاﻛﺜﺮ ﻫﻤﭙﻮﺷﺎﻧﻲ..............................................................................................75 9-11-3 ﻧﻜﺎت ﻣﻬﻢ در اﺳﺘﻔﺎده از ﺗﺒﺪﻳﻞ ﻣﻮﺟﻚ.....................................................................................76 77.....................................................................................................................................ﻓﺼﻞ ﺧﻼﺻﻪ 12-3 ﻓﺼﻞ ﭼﻬﺎرم: ﺗﺠﺰﻳﻪ و ﺗﺤﻠﻴﻞ داده ﻫﺎ............................................................................................................78 79...................................................................................................................................................ﻣﻘﺪﻣﻪ 1-4 2-4 روشﻫﺎی ﺗﺠﺰﻳﻪ و ﺗﺤﻠﻴﻞ اﻃﻼﻋﺎت....................................................................................................81 3-4 ﺗﺸﺮﻳﺢ روشﻫﺎی آﻣﺎری ﺟﻬﺖ آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎی ﭘﮋوﻫﺶ.................................................................81 82........................................................................................................................................ﺗﻮﺻﻴﻔﻲ آﻣﺎر 4-4 5-4 آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎی ﭘﮋوﻫﺶ...................................................................................................................87 88........................................................................................................................اول ﻓﺮﺿﻴﻪ آزﻣﻮن 1-5-4 88........................................................................................................................دوم ﻓﺮﺿﻴﻪ آزﻣﻮن 2-5-4 89.......................................................................................................................ﺳﻮم ﻓﺮﺿﻴﻪ آزﻣﻮن 3-5-4 89....................................................................................................................ﭼﻬﺎرم ﻓﺮﺿﻴﻪ آزﻣﻮن 4-5-4 91.......................................................................................................................................ﻓﺼﻞ ﺧﻼﺻﻪ 6-4 ﻓﺼﻞ ﭘﻨﺠﻢ: ﺧﻼﺻﻪ، ﻧﺘﻴﺠﻪ ﮔﻴﺮی و ﭘﻴﺸﻨﻬﺎدﻫﺎ.............................................................................................92ن ﻓﻬﺮﺳﺖ ﻣﻄﺎﻟﺐ ﻋﻨﻮان ﺻﻔﺤﻪ 93...................................................................................................................................................ﻣﻘﺪﻣﻪ 1-5 2-5 ﺧﻼﺻﻪ ﻧﺘﺎﻳﺞ آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎی ﺗﺤﻘﻴﻖ................................................................................................94 94.........................................................................................................................اول ﻓﺮﺿﻴﻪ ﻧﺘﻴﺠﻪ 1-2-5 95.........................................................................................................................دوم ﻓﺮﺿﻴﻪ ﻧﺘﻴﺠﻪ 2-2-5 95........................................................................................................................ﺳﻮم ﻓﺮﺿﻴﻪ ﻧﺘﻴﺠﻪ 3-2-5 96.....................................................................................................................ﭼﻬﺎرم ﻓﺮﺿﻴﻪ ﻧﺘﻴﺠﻪ 4-2-5 97.......................................................................................................................ﭘﮋوﻫﺶ ﻣﺤﺪودﻳﺖﻫﺎی 3-5 97..............................................................................................................................ﭘﮋوﻫﺶ ﭘﻴﺸﻨﻬﺎدات 4-5 1-4-5 ﭘﻴﺸﻨﻬﺎدات ﻣﻨﺘﺞ از آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎ.............................................................................................97 98...............................................................................................................ﺗﺤﻘﻴﻖ ﭘﻴﺸﻨﻬﺎدات ﺳﺎﻳﺮ 2-4-5 99.......................................................................................................................................ﻓﺼﻞ ﺧﻼﺻﻪ 5-5 ﭘﻴﻮﺳﺖ ﻫﺎ ..................................................................................................................................................100 ﻣﻨﺎﺑﻊ و ﻣĤﺧﺬ.............................................................................................................................................105 ﭼﻜﻴﺪه (اﻧﮕﻠﻴﺴﻲ)......................................................................................................................................110 س ﻓﻬﺮﺳﺖ ﺟﺪاول ﻋﻨﻮان ﺻﻔﺤﻪ ﺟﺪول 1-2 ﺧﻼﺻﻪ ﻣﻬﻢﺗﺮﻳﻦ ﺗﺤﻘﻴﻘﺎت اﻧﺠﺎمﺷﺪه.......................................................................................47 ﺟﺪول 1-4 ﺷﺮﻛﺖﻫﺎی ﻧﻤﻮﻧﻪ آﻣﺎری ﺗﺤﻘﻴﻖ...............................................................................................80 ﺟﺪول 2-4 اﻃﻼﻋﺎت ﺗﻮﺻﻴﻔﻲ ﻣﺘﻐﻴﺮﻫﺎ........................................................................................................83 ﺟﺪول3-4 ﻧﺘﺎﻳﺞ ﺗﺤﻠﻴﻞ رﮔﺮﺳﻴﻮن در دورهﻫﺎی ﭘﺮ ﻧﻮﺳﺎن...........................................................................89 ﺟﺪول 4-4 ﻧﺘﺎﻳﺞ ﺗﺤﻠﻴﻞ رﮔﺮﺳﻴﻮن در دورهﻫﺎی ﻛﻢ ﻧﻮﺳﺎن.........................................................................90 ع ﻓﻬﺮﺳﺖ ﻧﻤﻮدارﻫﺎ و اﺷﻜﺎل ﻋﻨﻮان ﺻﻔﺤﻪ ﺷﻜﻞ 1-1 ﻣﺪل ﻣﻔﻬﻮﻣﻲ ﺗﺤﻘﻴﻖ......................................................................................................................8 ﺷﻜﻞ 1-3 ﻧﻤﻮﻧﻪای از ﺗﺒﺪﻳﻞ ﻓﻮرﻳﻪ..............................................................................................................65 ﺷﻜﻞ 2-3 ﻧﻤﻮﻧﻪای از ﺗﺒﺪﻳﻞ ﻓﻮرﻳﻪ ﺳﺮی....................................................................................................67 ﺷﻜﻞ 3-3 ﻧﻤﻮﻧﻪﻫﺎﻳﻲ از ﺗﺒﺪﻳﻞ ﻓﻮرﻳﻪ ﭘﻨﺠﺮهای............................................................................................69 ﺷﻜﻞ 4-3 ﻧﻤﻮﻧﻪای از ﺗﺒﺪﻳﻞ ﻣﻮﺟﻚ ﭘﻴﻮﺳﺘﻪ...............................................................................................71 ﺷﻜﻞ 5-3 ﻣﻘﺎﻳﺴﻪ ﻧﺤﻮه ﺗﻘﺴﻴﻢﺑﻨﺪی ﺻﻔﺤﻪ زﻣﺎن- ﻓﺮﻛﺎﻧﺲ (زﻣﺎن – ﻣﻘﻴﺎس) در ﺳﻪ ﺗﺒﺪﻳﻞ ﻣﻮﺟﻚ، ﻓﻮرﻳﻪ و ﻓﻮرﻳﻪ ﭘﻨﺠﺮهای .........72١ ﺗﺄﺛﻴﺮ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ ﺑﺮ ﺑﺎزده ﺳﻬﺎم ﺷﺮﻛﺖ ﻫﺎی داروﻳﻲ و ﺷﻴﻤﻴﺎﻳﻲ ﺑﺎ اﺳﺘﻔﺎده از ﺗﺤﻠﻴﻞ ﻣﻮﺟﻚ در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان (ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻧﻮﺳﺎن ﭘﺬﻳﺮی ﺑﺎزده) ﭼﻜﻴﺪه ﺗﺤﻘﻴﻖ ﺣﺎﺿﺮ ﺑﻪ ﺑﺮرﺳﻲ راﺑﻄﻪی ﺑﻴﻦ ﺑﺎزده ﺳﻬﺎم و رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ در اﻓﻖﻫﺎی زﻣﺎﻧﻲ ﻣﻴﺎنﻣﺪت و ﺑﻠﻨﺪﻣﺪت و ﺑﺮرﺳﻲ ﺗﺄﺛﻴﺮ ﻣﻴﺰان ﻧﻮﺳﺎﻧﺎت ﺑﺎزار ﺑﺮ راﺑﻄﻪی ﻓﻮق در ﺷﺮﻛﺖﻫﺎی داروﻳﻲ و ﺷﻴﻤﻴﺎﻳﻲ ﭘﺬﻳﺮﻓﺘﻪﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان در ﺑﺎزده زﻣﺎﻧﻲ 1387 اﻟﻲ 1392 ﻣﻲﭘﺮدازد. در ﺑﺎزار ﺳﺮﻣﺎﻳﻪ ﻳﻜﻲ از ﻣﻬﻢﺗﺮﻳﻦ ﻣﺒﺎﺣﺚ ارﺗﺒﺎط ﺑﻴﻦ رﻳﺴﻚ و ﺑﺎزده اﺳﺖ، ﻣﺨﺼﻮﺻﺎً رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ؛ زﻳﺮا اﻋﺘﻘﺎد ﺑﺮ اﻳﻦ اﺳﺖ ﻛﻪ ﺑﺎزده ﺳﻬﺎم ﻓﻘﻂ ﺗﺎﺑﻌﻲ از رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ اﺳﺖ. ﺗﺤﻘﻴﻘﺎت ﺑﺴﻴﺎری در زﻣﻴﻨﻪ ﺑﺮرﺳﻲ راﺑﻄﻪی ﺑﻴﻦ رﻳﺴﻚ و ﺑﺎزده اﻧﺠﺎمﺷﺪه اﺳﺖ. از ﺟﻤﻠﻪ اﻳﻦ ﺗﻼشﻫﺎ، ﺗﺤﻘﻴﻘﻲ اﺳﺖ ﻛﻪ ﺗﻮﺳﻂ ﺷﺎرپ اﻧﺠﺎم ﺷﺪ. او ﺑﺎ ﻣﻌﺮﻓﻲ ﻣﺪل CAPM) ﻣﺪل ﻗﻴﻤﺖﮔﺬاری داراﻳﻲﻫﺎی ﺳﺮﻣﺎﻳﻪای) ﻓﺮض ﻛﺮد ﻛﻪ ﺑﻴﻦ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ و ﺑﺎزده اوراق ﺑﻬﺎدار راﺑﻄﻪی ﺧﻄﻲ ﺳﺎده و ﻣﺜﺒﺘﻲ وﺟﻮد دارد. ﺑﻪ ﻣﻨﻈﻮر آزﻣﻮن ﻓﺮﺿﻴﺎت ﺗﺤﻘﻴﻖ اﺑﺘﺪا دوره ﺗﺤﻘﻴﻖ را ﺑﺮ اﺳﺎس واراﻳﺎﻧﺲ ﺷﺎﺧﺺ ﺻﻨﻌﺖ داروﺳﺎزی و ﺷﻴﻤﻴﺎﻳﻲ ﺑﻪ دو دﺳﺘﻪ دورهﻫﺎی ﭘﺮ ﻧﻮﺳﺎن و ﻛﻢ ﻧﻮﺳﺎن ﺗﻘﺴﻴﻢ ﺷﺪه اﺳﺖ. ﺳﭙﺲ اﻃﻼﻋﺎت ﻣﺮﺑﻮط ﺑﻪ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ و ﺑﺎزده ﺳﻬﺎم در دورهﻫﺎی ﭘﺮ ﻧﻮﺳﺎن و ﻛﻢ ﻧﻮﺳﺎن را ﺑﺎ روش ﺗﺒﺪﻳﻞ ﻣﻮﺟﻚ ﮔﺴﺴﺘﻪ ﻫﻤﭙﻮﺷﺎﻧﻲ (DWT) و ﺑﺎ ﻣﻮﺟﻚ داﺑﺸﻴﺰ 4 ﺑﺎ اﺳﺘﻔﺎده از ﻧﺮماﻓﺰار MATLAB ﺑﻪ دوره زﻣﺎﻧﻲ ﻛﻮﭼﻚﺗﺮ ﺗﺠﺰﻳﻪ ﻧﻤﻮده، ﺳﭙﺲ ﺑﻪ ﻣﻨﻈﻮر آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎی ﺗﺤﻘﻴﻖ، از ﺗﺤﻠﻴﻞ رﮔﺮﺳﻴﻮن اﺳﺘﻔﺎدهﺷﺪه اﺳﺖ. ﻧﺘﺎﻳﺞ آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎی ﺗﺤﻘﻴﻖ ﻧﺸﺎن ﻣﻲدﻫﺪ راﺑﻄﻪ ﻣﻌﻨﺎداری ﺑﻴﻦ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ و ﺑﺎزده در دوره زﻣﺎﻧﻲ ﭘﺮ ﻧﻮﺳﺎن در اﻓﻖﻫﺎی زﻣﺎﻧﻲ ﻣﻴﺎنﻣﺪت و ﺑﻠﻨﺪﻣﺪت وﺟﻮد دارد. ﻫﻤﭽﻨﻴﻦ در دروه ﻫﺎی زﻣﺎﻧﻲ ﻛﻢ ﻧﻮﺳﺎن ﻧﻴﺰ در اﻓﻖﻫﺎی زﻣﺎﻧﻲ ﻣﻴﺎنﻣﺪت راﺑﻄﻪ ﻣﻌﻨﺎداری ﻣﻴﺎن رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ و ﺑﺎزده وﺟﻮد دارد وﻟﻲ ﻓﻘﻂ در اﻓﻖ زﻣﺎﻧﻲ ﺑﻠﻨﺪﻣﺪت 182 روزه راﺑﻄﻪ ﻣﻌﻨﺎدار ﻣﻴﺎن رﻳﺴﻚ و ﺑﺎزده ﺑﻪ اﺛﺒﺎت ﻣﻲرﺳﺪ. واژﮔﺎن ﻛﻠﻴﺪی: رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ، ﺷﺎﺧﺺ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ (ﺑﺘﺎ)، ﺑﺎزده ﺳﻬﺎم، ﺗﺤﻠﻴﻞ ﻣﻮﺟﻚ ﻓﺼﻞ اول ﻛﻠﻴﺎت ﭘﮋوﻫﺶ ٣ ﻣﻘﺪﻣﻪ 1 -1 ﺳﺮﻣﺎﻳﻪﮔﺬاری ﻳﻚ اﻣﺮ ﺿﺮوری و ﺣﻴﺎﺗﻲ در ﺟﻬﺖ رﺷﺪ و ﺗﻮﺳﻌﻪ اﻗﺘﺼﺎدی ﻫﺮ ﻛﺸﻮر اﺳﺖ. ﺑﺮای اﻳﻨﻜﻪ وﺟﻮه ﻻزم ﺟﻬﺖ اﻳﻦ ﺳﺮﻣﺎﻳﻪﮔﺬاری ﻓﺮاﻫﻢ آﻳﺪ، ﺑﺎﻳﺪ ﻳﻜﺴﺮی ﻣﻨﺎﺑﻊ ﺑﺮای ﺗﺄﻣﻴﻦ ﺳﺮﻣﺎﻳﻪ وﺟﻮد داﺷﺘﻪ ﺑﺎﺷﺪ. ﺑﻬﺘﺮﻳﻦ ﻣﻨﺒﻊ ﺑﺮای ﺗﺄﻣﻴﻦ ﺳﺮﻣﺎﻳﻪ ﭘﺲ اﻧﺪاز ﻫﺎی ﻣﺮدم ﻳﻚ ﺟﺎﻣﻌﻪ اﺳﺖ. ﺑﻮرس اوراق ﺑﻬﺎدار ﺑﻬﺘﺮﻳﻦ ﻣﻜﺎﻧﻴﺰﻣﻲ اﺳﺖ ﻛﻪ اﻣﻜﺎن اﺳﺘﻔﺎده از ﭘﺲاﻧﺪازﻫﺎ را در ﺑﺨﺶ ﺗﻮﻟﻴﺪ ﻓﺮاﻫﻢ ﻣﻲآورد. ﭘﺲ ﺑﻮرس از ﻳﻚ ﻃﺮف ﭘﺲ اﻧﺪاز ﻫﺎی ﺳﺮﮔﺮدان را ﺑﻪ ﺳﻤﺖ ﺗﻮﻟﻴﺪ ﺳﻮق ﻣﻲدﻫﺪ و از ﻃﺮف دﻳﮕﺮ اﺣﺘﻴﺎﺟﺎت ﻣﺎﻟﻲ ﺷﺮﻛﺖﻫﺎ و ﻣﺆﺳﺴﺎت را ﺑﺮآورده ﻣﻲﻛﻨﺪ. (ﺷﻔﻴﻊزاده، ﻋﻠﻲ،1375) اﺻﻞ ﺛﺎﺑﺘﻲ در ﻓﺮﻫﻨﮓ ﺳﺮﻣﺎﻳﻪﮔﺬاری وﺟﻮد دارد ﻣﺒﻨﻲ ﺑﺮ اﻳﻨﻜﻪ ﺳﺮﻣﺎﻳﻪﮔﺬار از رﻳﺴﻚ و ﺧﻄﺮ ﮔﺮﻳﺰان اﺳﺖ و ﺑﻪ ﺳﻮی ﺑﺎزده و ﺳﻮد ﺗﻤﺎﻳﻞ دارد. ﺑﻪ ﻫﻤﻴﻦ ﺧﺎﻃﺮ اﺳﺖ ﻛﻪ ﺳﺮﻣﺎﻳﻪﮔﺬاران رﻳﺴﻚ ﮔﺮﻳﺰ از ورود ﺳﺮﻣﺎﻳﻪ ﺧﻮد ﺑﻪ ﺟﺎﻳﻲ ﻛﻪ ﺧﻄﺮ و رﻳﺴﻚ وﺟﻮد دارد ﻳﺎ اﻓﻖ ﻧﺎﻣﺸﺨﺼﻲ در ﺑﺮاﺑﺮ ﺳﻮد و اﺻﻞ ﺳﺮﻣﺎﻳﻪﺷﺎن ﻫﺴﺖ، اﻣﺘﻨﺎع ﻣﻲﻛﻨﻨﺪ؛ اﻣﺎ آﻳﺎ ﻣﻲﺗﻮان ﺟﺎﻳﻲ را ﭘﻴﺪا ﻛﺮد ﻛﻪ ﺳﺮﻣﺎﻳﻪﮔﺬاری در آن رﻳﺴﻚ ﻧﺪاﺷﺘﻪ ﺑﺎﺷﺪ؟ رﻳﺴﻚ و ﺧﻄﺮ از دﺳﺖ دادن اﺻﻞ و ﻓﺮع ﺳﺮﻣﺎﻳﻪ در ﻫﻤﻪ ﺟﺎ ﻫﺴﺖ، ﺑﻌﻀﻲ ﺳﺮﻣﺎﻳﻪﮔﺬاریﻫﺎ ﭘﺮﺧﻄﺮﻧﺪ و ﺑﺮﺧﻲ ﻛﻢ ﺧﻄﺮ. ﺳﺮﻣﺎﻳﻪﮔﺬار ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻣﻴﺰان ﺧﻄﺮ و رﻳﺴﻚ ﺳﺮﻣﺎﻳﻪﮔﺬاری، اﻧﺘﻈﺎر ﺳﻮد و ﺑﺎزده ﻣﺘﻨﺎﺳﺐ را دارا ﻣﻲﺑﺎﺷﺪ. ﻣﻌﻤﻮﻻً ﺳﺮﻣﺎﻳﻪﮔﺬاران ﺑﻪ وﺳﻴﻠﻪی ﺗﺠﺰﻳﻪ و ﺗﺤﻠﻴﻞﻫﺎی ﻣﺎﻟﻲ ﺧﻮد ﺑﻪ دﻧﺒﺎل ﺑﺎزدهی ﻣﺘﻨﺎﺳﺐ، ﻳﺎ ﺗﻮﺟﻪ ﺑﻪ رﻳﺴﻚ ﻣﺮﺑﻮط ﻣﻲﺑﺎﺷﻨﺪ. در ﻳﻚ ﺑﺎزار ﻣﺘﻌﺎرف ﻛﻪ در آن ﻋﻮاﻣﻞ ﺑﺎزار واﺟﺪ اﻃﻼﻋﺎت ﻣﻲﺑﺎﺷﻨﺪ، ﺑﺎزده ﺑﺎﻻ ﻫﻤﻮاره رﻳﺴﻚ ﺑﺎﻻﺗﺮی را ﻧﻴﺰ ﺑﻪ دﻧﺒﺎل ﺧﻮاﻫﺪ داﺷﺖ. اﻳﻦ ﻣﻮﺟﺐ ﻣﻲﺷﻮد ﻛﻪ ﻫﻤﻮاره ﺗﺼﻤﻴﻢﮔﻴﺮی ﺟﻬﺖ ﺳﺮﻣﺎﻳﻪﮔﺬاری ﺑﺮ اﺳﺎس رواﺑﻂ ﻣﻴﺎن رﻳﺴﻚ و ﺑﺎزده ﺻﻮرت ﮔﻴﺮد و ﻳﻚ ﺳﺮﻣﺎﻳﻪﮔﺬار ﻫﻤﻮاره دو ﻓﺎﻛﺘﻮر رﻳﺴﻚ و ﺑﺎزده را در ﺗﺠﺰﻳﻪ و ﺗﺤﻠﻴﻞ و ﻣﺪﻳﺮﻳﺖ ﺳﺒﺪ ﺳﺮﻣﺎﻳﻪﮔﺬاریﻫﺎی ﺧﻮد ﻣﺪﻧﻈﺮ ﻗﺮار دﻫﺪ؛ ﺑﻪ ﻋﺒﺎرت دﻳﮕﺮ، ﺳﺮﻣﺎﻳﻪﮔﺬاری ﺑﻪ ﻋﻨﻮان ﻳﻚ ﺗﺼﻤﻴﻢ ﻣﺎﻟﻲ ﻫﻤﻮاره دارای دو ﻣﺆﻟﻔﻪی رﻳﺴﻚ و ﺑﺎزدﻫﻲ ﺑﻮده ﻛﻪ ﻣﺒﺎدﻟﻪی اﻳﻦ دو، ﺗﺮﻛﻴﺐﻫﺎی ﮔﻮﻧﺎﮔﻮن ﺳﺮﻣﺎﻳﻪﮔﺬاری را ﻋﺮﺿﻪ ﻣﻲﻛﻨﺪ (اﺑﺰری و ﻫﻤﻜﺎران، 1386).٤ از ﺑﻌﺪ ﺗﻘﺎﺿﺎ ﺑﺮای ﻣﻨﺎﺑﻊ ﻣﺎﻟﻲ، ﺷﺮﻛﺖﻫﺎ ﺑﺎﻳﺪ ﺳﻌﻲ ﻛﻨﻨﺪ ﻛﻪ وﺟﻮه ﻣﻮرد ﻧﻴﺎز ﺧﻮد را ﺑﻪ ﻃﺮﻳﻘﻲ ﺗﻬﻴﻪ ﻛﻨﻨﺪ ﻛﻪ ﻫﺪف اﺻﻠﻲ ﺻﺎﺣﺒﺎن ﺷﺮﻛﺖ، ﻳﻌﻨﻲ اﻓﺰاﻳﺶ ارزش ﺷﺮﻛﺖ، ﺗﺤﻘﻖ ﻳﺎﺑﺪ. در ﺑﻌﺪ ﻋﺮﺿﻪ ﺳﺮﻣﺎﻳﻪ، ﺳﺮﻣﺎﻳﻪﮔﺬاران ﺳﻌﻲ دارﻧﺪ ﻛﻪ ﺣﺘﻲاﻻﻣﻜﺎن ﭘﺲ اﻧﺪاز ﻫﺎی ﺧﻮد را در ﺟﺎﻳﻲ ﺳﺮﻣﺎﻳﻪﮔﺬاری ﻛﻨﻨﺪ ﻛﻪ ﺑﻴﺶﺗﺮﻳﻦ ﺑﺎزده را داﺷﺘﻪ ﺑﺎﺷﺪ؛ اﻣﺎ در اﻳﻦ راﺳﺘﺎ ﺑﻪ رﻳﺴﻚ ﻣﺮﺑﻮط ﺑﻪ ﺳﺮﻣﺎﻳﻪﮔﺬاری ﻧﻴﺰ ﺗﻮﺟﻪ دارﻧﺪ و در ﺻﻮرﺗﻲ ﺗﺤﻤﻞ رﻳﺴﻚ را ﭘﺬﻳﺮا ﻣﻲﺷﻮﻧﺪ ﻛﻪ ﺑﺎﺑﺖ آن ﻣﺎ ﺑﻪ ازاﺋﻲ ﻋﺎﻳﺪﺷﺎن ﮔﺮدد و اﻳﻦ ﻣﺎ ﺑﻪ ازا ﭼﻴﺰی ﺟﺰ ﺑﺎزده ﺑﻴﺸﺘﺮ ﺳﺮﻣﺎﻳﻪﮔﺬاریﻫﺎ ﻧﺨﻮاﻫﺪ ﺑﻮد. ﻟﺬا ﺑﻪ ﻣﻨﻈﻮر ﺳﺮﻣﺎﻳﻪﮔﺬاری در ﺑﻮرس رﻳﺴﻚ و ﺑﺎزده ﺳﺮﻣﺎﻳﻪﮔﺬاریﻫﺎ ﻫﻤﺰﻣﺎن ﺑﺎﻳﺪ ﻣﻮرد ﺗﻮﺟﻪ ﻗﺮار ﮔﻴﺮد. ﺑﻪ ﻫﻤﻴﻦ ﻋﻠﺖ ﺷﻨﺎﺧﺖ ارﺗﺒﺎط ﺑﻴﻦ ﻣﻴﺰان رﻳﺴﻚ و ﺑﺎزده از ﺟﻬﺖ ﺗﺼﻤﻴﻢﮔﻴﺮی ﺳﺮﻣﺎﻳﻪﮔﺬاران اﻫﻤﻴﺖ وﻳﮋهای دارد. (ﺷﻔﻴﻊزاده، ﻋﻠﻲ،1375) اﻫﻤﻴﺖ رﻳﺴﻚ و ﺑﺎزده و ﻓﻘﺪان اﻟﮕﻮی ﻛﺎﻣﻞ و ﻣﻮرد ﭘﺬﻳﺮش اﻫﻞ ﻓﻦ، ﻣﻮﺟﺐ ﺷﺪه ﺗﺎ ﭘﮋوﻫﺸﮕﺮان زﻳﺎدی ﺑﺨﺶ ﻋﻤﺪهای از ﭘﮋوﻫﺶﻫﺎی ﺧﻮد را ﺑﻪ اﻳﻦ ﻣﻮﺿﻮع اﺧﺘﺼﺎص دﻫﻨﺪ، ﺑﻌﻼوه ﺟﺬاﺑﻴﺖ ﻣﻮﺿﻮع ﺑﻪ دﻟﻴﻞ ﻓﺮاﮔﻴﺮ ﺑﻮدن آن در ﺑﺎزارﻫﺎی ﻣﺎﻟﻲ ﻧﻴﺰ ﻋﺎﻣﻞ ﻣﺤﺮک دﻳﮕﺮی ﺑﻮده اﺳﺖ، ﺑﻄﻮرﻳﻜﻪ در ﭼﻨﺪ دﻫﻪی اﺧﻴﺮ ﻗﺴﻤﺖ زﻳﺎدی از ﺗﺤﻘﻴﻘﺎت ﺑﺎزار ﺳﺮﻣﺎﻳﻪ و ﻣﺘﻮن درﺳﻲ داﻧﺸﮕﺎﻫﻲ ﺑﻪ ﺗﺒﻴﻴﻦ و ﺗﺸﺮﻳﺢ اﻟﮕﻮی رﻳﺴﻚ و ﺑﺎزده اﺧﺘﺼﺎص ﻳﺎﻓﺘﻪ اﺳﺖ. در اﻳﻦ ﭘﮋوﻫﺶ ﺑﻪ دﻧﺒﺎل ﻳﺎﻓﺘﻦ ارﺗﺒﺎط ﻣﻌﻨﻲدار ﺑﻴﻦ رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ و ﺑﺎزده ﺳﻬﺎم در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﺑﺎ روﺷﻲ ﻣﺘﻔﺎوت از روشﻫﺎی ﻣﺮﺳﻮم اﻗﺘﺼﺎدﺳﻨﺠﻲ ﻫﺴﺘﻴﻢ. ﺑﺪﻳﻦ ﻣﻨﻈﻮر اﻗﺪام ﺑﻪ ﺑﺮرﺳﻲ ﻫﻤﺰﻣﺎﻧﻲﻫﺎ ﺑﺎ اﺳﺘﻔﺎده از روش ﻣﻮﺟﻚ ﺧﻮاﻫﻴﻢ ﻛﺮد. 2 -1 ﺗﻌﺮﻳﻒ و ﺑﻴﺎن ﻣﺴﺌﻠﻪ ﭘﮋوﻫﺶ در ﺑﺎزار ﺳﺮﻣﺎﻳﻪ ﻳﻜﻲ از ﻣﻬﻢﺗﺮﻳﻦ ﻣﺒﺎﺣﺚ ارﺗﺒﺎط ﺑﻴﻦ رﻳﺴﻚ و ﺑﺎزده اﺳﺖ، ﻣﺨﺼﻮﺻﺎً رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ؛ زﻳﺮا اﻋﺘﻘﺎد ﺑﺮ اﻳﻦ اﺳﺖ ﻛﻪ ﺑﺎزده ﺳﻬﺎم ﻓﻘﻂ ﺗﺎﺑﻌﻲ از رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ اﺳﺖ (ﻓﻴﺸﺮ و ﺟﺮدن 1 ، 1991). رﻳﺴﻚ ﺳﻴﺴﺘﻤﺎﺗﻴﻚ در اوراق ﺑﻬﺎدار ﺑﻴﺎﻧﮕﺮ ﺑﺨﺸﻲ از ﺗﻐﻴﻴﺮﭘﺬﻳﺮی در ﺑﺎزده اوراق در اﺛﺮ دﺧﺎﻟﺖ ﻋﻮاﻣﻞ ﻣﺆﺛﺮ ﺑﺮ ﻣﺠﻤﻮﻋﻪی ﺑﺎزار از ﻗﺒﻴﻞ ﺗﻐﻴﻴﺮ در دورﻧﻤﺎی ﻛﻠﻲ ﺗﺠﺎرت اﻳﺠﺎد ﻣﻲﺷﻮد ﻛﻪ ﺑﺎ اﺳﺘﻔﺎده از ﻣﻌﻴﺎری ﺗﺤﺖ ﻋﻨﻮان ﺑﺘﺎ اﻧﺪازهﮔﻴﺮی ﻣﻲﺷﻮد. ...

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