آلودگی هوا و بازده سهام در بورس اوراق بهادار تهران

نوع مقاله: مقاله پژوهشی

نویسندگان

1 دانشیار حسابداری دانشگاه الزهرا (س).

2 دانشجوی دکتری حسابداری دانشگاه الزهرا (س).

چکیده

مقدمه: پژوهش‌های مرتبط با سلامت نشان می‌دهد که آلودگی هوا تأثیر منفی بر حالات روانی اشخاص دارد. پژوهش‌های تجربی در روانشناسی نیز نشانگر این است که حالات روانی بد باعث افزایش خطرگریزی افراد می‌شود. مطالعات انجام شده در زمینه مالی و اقتصادی در دنیا حاکی از اثر حالات روانی بد بر نرخ بازده سهام است.
روش پژوهش: پژوهش حاضر به لحاظ هدف، کاربردی و بر مبنای ماهیت و محتوا از نوع همبستگی است. این پژوهش به بررسی اثر حالات روانی ناشی از آلودگی هوا و ارتباط بین آلودگی هوا و بازده سهام در بازار بورس اوراق بهادار تهران در بازه زمانی 1392-1390 با بکارگیری اطلاعات روزانه شاخص آلودگی هوا و اطلاعات بازده سهام می‌پردازد. از رگرسیون سری زمانی و نرم‌افزار Eviews نسخه 7 برای تجزیه و تحلیل داده‌ها استفاده شده است.
یافته‌ها: نتایج حاصل از آزمون فرضیه پژوهش بیانگر این است که آلودگی هوا رابطه منفی با نرخ بازده کل سهام بورس اوراق بهادار تهران دارد.
نتیجه‌گیری: تصمیم‌های سرمایه‌گذاران تا حد زیادی تحت تأثیر حالات روحی آنان است و آلودگی هوا از جمله عواملی است که می‌تواند بر خلق و خوی و حالات روانی انسان‌ها اثر بگذارد. یافته‌های پژوهش نشان‌دهنده رابطه منفی و معنادار بین آلودگی هوا و بازده سهام است. این امر مؤید نظریه‌های مالی رفتاری است. اگر چه با توجه به ضریب تعیین تعدیل شده بدست آمده حاصل از الگوی رگرسیون، آلودگی هوا مقدار کمی از تغییرات بازده اوراق بهادار را تبیین می‌کند.

کلیدواژه‌ها


عنوان مقاله [English]

Air Pollution and Stock Return in the Companies Listed on the Tehran Stock Exchange

نویسندگان [English]

  • Sh. Mashayekh 1
  • B. Shafizadeh 2
2 Ph. D. Student in Accounting, Alzahra University.
چکیده [English]

Introduction: The Related researches to health indicate that air pollution has a negative effect on peoples' psychological moods. The experimental researches in psychology demonstrate that bad psychological moods lead to increase risk-aversion in people. The conducted studies in financial and economic fields state the effect of bad psychological moods on the rate of stock return.  
Method: The current research is applied in terms of purpose, and it is a correlational research on the basis of characteristics and content. This research investigates the effect of bad psychological moods caused by air pollution, and it sets the relationship between air pollution and stock return in the companies listed on the Tehran Stock Exchange during 2011-2013 using daily data of Pollutant Standards Index and the information of stock return. Time Series Regression and Eviews Software Version 7 have been used to analyze the data.
Results: The results of testing the hypothesis of the research indicate that air pollution has a negative relationship with the rate of the return of total stock of the Tehran Stock Exchange.
Conclusion: The Decisions of investors are greatly under the influence of their psychological moods, and air pollution is among the factors that can affect the character and psychological moods of humen. The results of the research indicate a significant and negative relationship between air pollution and stock return. This confirms the theories of Behavioral Finance. Although according to the adjusted R-squared coefficient resulted from the Regression model, air pollution explains a little changes in the return of security.

کلیدواژه‌ها [English]

  • Air Pollution
  • Behavioral Theories
  • Stock Return
1     Borji Dowlat Abad, E. (2011). “Financial Behavior: A Governing Paradigm of the Financial Market”, Tadbir, No. 191, pp. 31-36. [In Persian]

2     Amandad, O.; Salehi, M.; and M. Fallahi (2015). “Modeling and Predicting the Stock Price of the Pharmaceutical and Chemical Companies Listed on the Tehran Stock Exchange via New Methods and Models”, Journal of Health Accounting, Vol. 4, No. 3, pp.1-19. [In Persian]

3     Kamstra, M. J.; Kramer, L. A.; and M. D. Levi (2000). “Losing Sleep at the Market: the Daylight-Saving Anomaly”, American Economic Review, Vol. 90, No. 4, pp. 1005-1011.

4     Rashidi, P. (2012). “The Relationship between Air Pollution and Stock Return and Fluctuation of Return on the Tehran Stock Exchange”, M. A. Thesis in Accounting, Allameh Tabataba'i University. [In Persian]

5     Edmans, A.; Garc, D.; and O. Norli (2007). “Sports Sentiment and Stock Returns”, Journal of Finance, Vol. 62, No. 4, pp. 1967-1998.

6     Chang, S. C.; Chen, S. S.; Shou, R. K.; and Y. H. Lin (2008). “Weather and Intraday Patterns in Stock Returns and Trading Activity”, Journal of Banking and Finance, Vol. 32, No. 9, pp. 1754-1766.

7     Prodan, I. (2013). “The Effect of Weather on Stock Returns, A Comparison between Emerging and Developed Markets”, Available at: https://books.google.com/. [Online][8 October 2016]

8     Lepori, G. M. (2016). “Air Pollution and Stock Returns: Evidence from a Natural Experiment”, Journal of Empirical Finance, Vol. 35, pp. 25-42.

9     Pushakwall, M. (1996). “The January Effect: Still here after All these Years”, Financial Analysts Journal, Vol. 27, pp. 45-87.

10 Mousavi Shiri, S. M.; Vaghfi, S. H.; and M. Ahangari (2013). “Investigating the Long-term Memory of Total Price Index of the Tehran Stock Exchange (A Case Study: Pharmaceutical Industry)”, Journal of Health Accounting, Vol. 2, No. 4, pp.78-96. [In Persian]

11 Salehi, M. and F. Davtalab Tousi (2014). “Investigating the Effect of Ownership Structure on the Firm Value of Pharmaceutical Companies Listed on the Tehran Stock Exchange via Panel Data Analysis”, Journal of Health Accounting, Vol. 3, No. 3, pp.79-100. [In Persian]

12 Guzavicius, A.; Vilka, R.; and V. Barkauskas (2014). “Behavioural Finance: Corporate Social Responsibility Approach”, Procedia Social and Behavioral Sciences, Vol. 156, pp. 518-523.

13 Oprean, C. and C. Tanasescu (2014). “Effects of Behavioural Finance on Emerging Capital Markets”, Procedia Economics and Finance, Vol. 15, pp. 1710-1716.

14 Deegan. C. and J. Unerman (2011). Financial Accounting Theory, 2nd Edition, New York: McGraw-Hill.

15 Birnberg, J. G. (2011). “A Proposed Framework for Behavioral Accounting Research”, Behavioral Research in Accounting, Vol. 23, pp. 1-45.

16 Shabahang, R. (2008). Accounting Theory, 1st Volume, 8th Edition, Tehran: Audit Organization Publications. [In Persian]

17 Bonner. S. E. (2007). Judgment and Decision Making In Accounting, 1st Edition, New Jerssy: Pearson-Prentice Hall.

18 Bullinger, M. (1990). “Environmental Stress: Effects of Air Pollution on Mood, Neuropsychological Function and Physical State”, Psychobiology of Stress, Vol. 54, pp. 241-250

19 Evans, G. W.; Jacobs, S. V.; Dooley, D.; and R. Catalino (1987). “The Interaction of Stressful Life Events and Chronic Strains on Community Mental Health”, American Journal of Community Psychology, Vol. 15. No. 1, pp. 23-34.

20 Cohen, S.; Evans, G. W.; Stokols, D.; and D. S. Krantz (1986). Behavior, Health, and Environmental Stress, 1st Edition, New York: Plemum.

21 Bullinger, M. (1989). “Psychological Effects of Air Pollution on Healthy Residents – A Time-Series Approach”, Journal of Environmental Psychology, Vol. 9, No. 2, pp. 103-118.

22 Schiffman, S. S.; Miller, E. A. S.; Suggs, M. S.; and B. G. Graham (1995). “The Effect of Environmental Odors Emanating from Commercial Swine Operations on the Mood of Nearby Residents”, Brain Research Bulletin, Vol. 37, No. 4, pp. 369-375.

23 Weiss, B. (1988). “Neurobehavioral Toxicity as a Basis for Risk Assessment”, Trends in Pharmacological Sciences, Vol. 9, No. 2, pp. 59-62.

24 Schwarz, N. (1990). Feelings as Information: Informational and Motivational Functions of Affective States, Handbook of Motivation and Cognition, 1st Edition, New York: Guildford.

25 Schwarz, N. and G. L. Clore (1983). “Mood, Misattribution, and Judgments of Well-Being: Informative and Directive Functions of Affective States”, Journal of Personality and Social Psychology, Vol. 45, No. 3, pp. 513-523.

26 Lucey, B. M. and M. Dowling (2005). “The Role of Feeling in Investor Decision-Making”, Journal of Economic Surveys, Vol. 19, No. 2, pp. 211-237.

27 Morris, W. N. (2000). “Some Thoughts about Mood and its Regulation”, Psychological Inquiry, Vol. 11, No. 3, pp. 214-217.

28 Constans, J. I. and A. M. Mathews (1993). “Mood and the Subjective Risk of Future Events”, Cognition and Emotion, Vol. 7, No. 6, pp. 545-560.

29 Slovic, P. and E. Peters (2010). “Risk Perception and Affect”, Current Directions in Psychological Science, Vol. 15, No. 6, pp. 322-325.

30 Pennings, J. M. E. and P. Garcia (2009). “The Informational Content of the Shape of Utility Functions: Financial Strategic Behavior”, Managerial and Decision Economics, Vol. 30, No. 2, pp. 83-90.

31 Kamstra, M. J.; Kramer, L. A.; and M. D. Levi (2003). “Winter Blues: A SAD Stock Market Cycle”, American Economic Review, Vol. 93, No. 1, pp. 324-343.

32 Molin, J.; Mellerup, E.; Bolwig, T.; Scheik, T.; and H. Dam (1996). “The Influence of Climate on Development of Winter Depression”, Journal of Affective Disorders, Vol 37, No. 2, pp. 151-155.

33 Young, M. A.; Meaden, P.; Fogg, L.; Cherin, E.; and C. Eastman (1997). “Which Environmental Variables are Related to the Onset of Seasonal Affective Disorder?”, Journal of Abnormal Psychology, Vol. 106, No. 4, pp. 554-562.

34 Saunders, E. M. (1993). “Stock Prices and Wall Street Weather”, American Economic Review, Vol. 83, No. 6, pp. 1337-1345.

35 Hirshleifer, D. and T. Shumway (2003). “Good Day Sunshine: Stock Returns and the Weather”, Journal of Finance, Vol. 58, pp. 1009-1032.

36 Cao, M. and J. Wei (2005). “Stock Market Returns: A Note on Temperature Anomaly”, Journal of Banking and Finance, Vol. 29, pp. 1559-1573.

37 Yuan, K.; Zheng, L.; and Q. Zhu (2006). “Are Investors Moonstruck? Lunar Phases and Stock Returns”, Journal of Empirical Finance, Vol. 13, No. 1, pp. 1-23.

38 Mehra, R. and R. Sah (2002). “Mood, Fluctuations Projection Bias and Volatility of Equity Prices”, Journal of Economic Dynamics and Control, Vol. 26, No. 5, pp. 869-887.

39 Bouman, S. and B. Jacobsen (2002). “The Halloween Indicator, Sell in may and go Away: Another Puzzle”, American Economic Review, Vol. 92, No. 5, pp. 1618-1635.

40 Jacobsen, B. and W. Marquering (2008). “Is it the Weather?” Journal of Banking and Finance, Vol. 32, No. 4, pp. 526-540.

41 Levy, T. and J. Yagil (2011). “Air Pollution and Stock Returns in the US”, Journal of Economic Psychology, Vol. 32, No. 3, pp. 374-383.

42 Nasrollahi, Z. and M. Ghaffari Golak (2010). “Investigating the Relationship between Air Pollution and Economic Growth in 28 Provinces of the Country”, Journal of Knowledge and Development, Vol. 17, No. 33, pp. 164-183. [In Persian]

43 Hejazi, R.; Taheri, M.; and K. Eslami (2014). “Indicating Environmental Costs in Soil Pollution”, Journal of Health Accounting, Vol. 3, No. 1, pp.42-60. [In Persian]

44 Jamalianpour, M. and Gh. Mahdavi (2013). “The Effects of Climate and Seasonal Variables on the Tehran Stock Market Liquidity”, Financial Accounting Researches, Vol. 5, No.3, pp. 73-88.

45 Lucey, B. (2000). “Some Empirics of the ISEQ Index”, Economic and Social Review, Vol. 25, pp. 157-179.