بررسی مدل قیمت‌گذاری چندعاملی APT با لحاظ مرکزیت در شبکه بازار سهام ایران

نوع مقاله : پژوهشی

نویسندگان

1 استادیار، گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران.

2 دانشجوی دکتری اقتصاد، گروه اقتصاد، دانشکده علوم اداری و اقتصادی، دانشگاه فردوسی مشهد، مشهد، ایران

چکیده

بازار سهام حجم گسترده‌ای از داده‌ها و روابط متقابل میان شرکت‌ها را تولید می‌کند؛ ازاین‌رو، استفاده از تحلیل شبکه می‌تواند چارچوبی مناسب برای درک پویایی‌ها و ساختار ارتباطی بازار فراهم سازد. با وجود اهمیت این موضوع، بازار سهام ایران کمتر از منظر تحلیل شبکه بررسی شده و مطالعات موجود عمدتاً بر ویژگی‌های توصیفی شبکه تمرکز داشته‌اند. افزون بر این، تاکنون نقش مرکزیت شبکه در چارچوب مدل‌های قیمت‌گذاری دارایی و به‌عنوان منبع بالقوه ریسک سیستماتیک مورد آزمون قرار نگرفته است. ازاین‌رو، هدف اصلی این پژوهش بررسی توان توضیحی مدل قیمت‌گذاری چندعاملی آربیتراژ (APT) با لحاظ معیار مرکزیت شبکه در بازار سهام ایران است. برای این منظور، بازده سهام شرکت‌های دارای معاملات منظم طی دوره زمانی ۱۳۹۲ تا ۱۴۰۲ استخراج شد. سپس با استفاده از ماتریس همبستگی بازده سهام و رویکرد آستانه، شبکه بازار سهام تشکیل و معیار مرکزیت هر سهم محاسبه شد. در ادامه، مدل APT با وارد کردن مرکزیت به‌عنوان عامل ریسکی جدید برآورد گردید. به‌منظور آزمون، از روش مقطعی فاما–مک‌بث و آزمون گیبونز، راس و شانکن استفاده شد. نتایج پژوهش نشان می‌دهد ضریب معیار مرکزیت مثبت و از نظر آماری معنادار است؛ به این معنا که سهام با جایگاه مرکزی‌تر در شبکه، به دلیل ارتباط گسترده‌تر با سایر شرکت‌ها، در معرض شوک‌های کلان و سرریزهای بازار قرار داشته و بازده مورد انتظار بالاتری خواهد داشت. بنابراین، ادغام تحلیل شبکه با مدل‌های قیمت‌گذاری دارایی، ابعاد جدیدی از ریسک را آشکار ساخته و می‌تواند به بهبود تصمیم‌گیری سرمایه‌گذاران، مدیریت سبد دارایی و سیاست‌گذاری در بازار سرمایه ایران کمک کند.

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اردیبهشت 1405
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