مدل‌سازی عامل‌بنیان رفتار سهامداران در بازار اوراق بهادار تهران (مورد مطالعه: شرکت فولاد مبارکه اصفهان)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانش آموخته ی دکتری، گروه مدیریت صنعتی، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران

2 استادیارگروه حسابداری، واحد شهرقدس، دانشگاه آزاد اسلامی، تهران، ایران

3 استادیار، گروه مدیریت صنعتی، واحد ساوه، دانشگاه آزاد اسلامی، ساوه، ایران

چکیده

یکی از مفروضات کارایی بازار سرمایه این است که سرمایه‌گذاران به طور منطقی عمل می‌کنند، ولی نتایج پژوهش‌های محققان نشان می‌دهد در بسیاری از موارد سرمایه‌گذاران در بازار اوراق بهادار دارای رفتار غیر منطقی می‌باشند که از این حیث مقاله حاضر نیز رفتار غیر منطقی را در برخی سهامداران نشان می‌دهد. در مقاله حاضر دو نوع شخصیت برای سهامداران در بورس اوراق بهادار در نظر گرفته شده است. اولین گروه دارای شخصیت آنی‌گر و گروه دوم دارای شخصیت نوسان‌گیر می‌باشند. معامله‌گرانی که دارای شخصیت آنی‌گر هستند با افزایش قیمت سهام به خرید سهام مبادرت و با کاهش قیمت به فروش اقدام می‌نمایند. در نقطه مقابل، نوسان‌گیرهایی هستند که با کاهش قیمت به خرید گروهی روی آورده و با افزایش قیمت سهام به فروش اقدام می‌نمایند. نوآوری پژوهش حاضر، ارائه مدلی پویا برای تحلیل رفتار سرمایه‌گذاران با در نظر گرفتن مدل‌سازی عامل بنیان رفتار سهامداران و در نظر گرفتن ویژگی‌های شخصیتی متنوع ایشان و تحلیل حساسیت رفتار معامله‌گری تحت محیط نرم‌افزاری نت لگو است. در نهایت، مدل پس از طراحی مورد اعتبارسنجی و برازش قرار گرفت که نتایج حاکی از اعتبار بالای مدل طراحی شده در محیط شبیه‌سازی است. نتایج پژوهش نشان می‌دهد، درصد سهامداران با شخصیت نوسانگیر و هیجانی در تعادل قیمتی به ترتیب به ۵۲ و ۴۸ درصد بین سهامداران هیجانی و نوسان‌گیر توزیع شده است.

کلیدواژه‌ها


عنوان مقاله [English]

Agent-based Modeling Behavior of Traders in Tehran Stock Exchange (Case study: Mobarakeh Esfahan Steel Company)

نویسندگان [English]

  • Salman Abbasi Siar 1
  • Mohsen Hashemighohar 2
  • Ammar Feyzi 3
1 Ph.D Graduate, Department of Industrial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran
2 Assistant Professor of Accounting, Shahr-e-Quds Branch, Islamic Azad University, Tehran, Iran
3 Assistant Professor, Department of Industrial Management, Saveh Branch, Islamic Azad University, Saveh, Iran
چکیده [English]

One of the efficiency assumptions of stock market is that investors act rationally, but the results of researchers' scholars show that in many cases, investors in the stock market have irrational behavior. The present study show irrational behavior. In the present article, two types of personalities are considered for shareholders in the stock market. The first group has an impulsivity personality and the second group has an oscillating personality. Traders who have an impulsivity personality buy stocks when prices increased and sold when prices decreased. On the other hand, there are oscillators who buy when prices dropped and sold when prices increased. The innovation of the present study is to provide a dynamic model for analyzing the behavior of investors by agent-based modeling and considering their various personalities of trader’s behavior in NetLogo software environment. Finally, after designed model, the validity of the model is assessed which results indicate high validity of the designed model in the simulation environment. The results show that the percentage of shareholders with oscillating and impulsivity personality in the price balance is distributed to 52% and 48% between impulsivity and oscillating shareholders.

کلیدواژه‌ها [English]

  • Tehran Stock Exchange (TSE)
  • Behavior of Traders (BT)
  • Shareholder Behavior
  • personality traits
  • Agent-based Modeling (ABM)
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