چکیده:
ﻫﺪف از ﻣﻘﺎﻟﻪ ﺣﺎﺿﺮ، آزﻣﻮن ﺗﺄﺛﻴﺮﮔﺬاری ﻣﻴﺰان ﺳﻬﺎم ﺷـﻨﺎور آزاد ﺑـﺮ رﻳﺴـﻚ ﺳـﻬﺎم ﺷـﺮﻛﺖﻫـﺎ درﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﻣﻲﺑﺎﺷﺪ. ﺑﻪﻣﻨﻈﻮر دﺳﺘﻴﺎﺑﻲ ﺑﻪ اﻳﻦ ﻫﺪف ﻳﻚ ﮔـﺮوه ﻧﻤﻮﻧـﻪ ﺷـﺎﻣﻞ 05 ﺷـﺮﻛﺖﺑﺮﺗﺮ ﺳﺎل 7831 اﻧﺘﺨﺎب ﺷﺪه و دادهﻫﺎی ﻓﺼﻠﻲ ﻣﺮﺑﻮط ﺑﻪ آنﻫﺎ ﺑﻪ ﻃﻮل 01 دوره 3 ﻣﺎﻫﻪ و داﻣﻨـﻪ زﻣـﺎﻧﻲﺑﻴﻦ 5831 ﺗﺎ 7831 اﺳﺘﺨﺮاج ﺷﺪه و ﻣﻮرد ﭘﮋوﻫﺶ ﻗﺮار ﮔﺮﻓﺘﻪ اﺳﺖ. در اﻳﻦ ﺗﺤﻘﻴﻖ ﻣﻴﺰان ﺳـﻬﺎم ﺷـﻨﺎورآزاد ﺑﻪﻋﻨﻮان ﻣﺘﻐﻴﺮ ﻣﺴﺘﻘﻞ و ﻣﺘﻐﻴﺮ رﻳﺴﻚ ﺳﻬﺎم ﺑﻪﻋﻨـﻮان ﻣﺘﻐﻴـﺮ واﺑﺴـﺘﻪ ﻣﻄـﺮح اﺳـﺖ. اﻳـﻦ ﺗﺤﻘﻴـﻖ ﺑـﺎروشﻫﺎی ﺗﻮﺻﻴﻔﻲ و ﻫﻤﺒﺴﺘﮕﻲ اﻧﺠﺎم ﮔﺮﻓﺘﻪ و ﺑﺮای آزﻣﻮن ﻓﺮﺿﻴﻪﻫﺎی ﺗﺤﻘﻴﻖ ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﺷـﻜﻞ ﺗﻮزﻳـﻊدادهﻫﺎ و ﻫﺪف ﭘﮋوﻫﺶ از آزﻣﻮنﻫﺎی ﭘﺎراﻣﺘﺮﻳﻚ و ﻧﺎﭘﺎراﻣﺘﺮﻳﻚ ﻫﻤﺒﺴﺘﮕﻲ و ﺗﺤﻠﻴـﻞ رﮔﺮﺳـﻴﻮن اﺳـﺘﻔﺎدهﺷﺪه و در ﻣﻮرد ﻓﺮﺿﻴﻪ ﺗﺤﻘﻴﻖ، ﺗﺼﻤﻴﻢﮔﻴﺮی و ﺳﭙﺲ ﺑﺮ اﺳﺎس ﺗﺌﻮری اﺣﺘﻤﺎﻻت ﺑﻪ ﺳﺆال ﺗﺤﻘﻴﻖ ﭘﺎﺳـﺦداده ﺷﺪه اﺳﺖ. ﻧﺘﺎﻳﺞ ﺗﺤﻘﻴﻖ از وﺟﻮد راﺑﻄﻪ ﻣﻌﻜﻮس و ﻣﻌﻨﺎدار ﺑﻴﻦ ﻣﻴﺰان ﺳﻬﺎم ﺷـﻨﺎور آزاد ﺑـﺎ رﻳﺴـﻚﺳﻬﺎم، ﻃﻲ دوره ﻣﻮرد ﻣﻄﺎﻟﻌﻪ، ﭘﺸﺘﻴﺒﺎﻧﻲ ﻧﻤﻮده اﺳﺖ. ﺑﻪ ﺑﻴﺎن دﻳﮕﺮ ﻫﺮﭼﻪ ﻣﻴﺰان ﺳﻬﺎم ﺷﻨﺎور آزاد ﺷـﺮﻛﺘﻲ ﺑﻴﺸﺘﺮ ﺑﺎﺷﺪ رﻳﺴﻚ ﺳﻬﺎم آن ﺷﺮﻛﺖ ﻛﻤﺘﺮ اﺳﺖ.
The purpose of this study is testing the impact of the amount of free floating stock on the rate of equity risk on the Tehran Stock Exchange companies. In the other words, we check that the amount of Free Floating Stock, how effect on Equity Risk.
To perform this study, a typical group including fifty top companies were selected in 1387. The seasonal data including ten periods of three months and time length from 1385 to 1387 was obtain and examined. In this research, the rate of free floating rate as independent and Equity Risk as dependent variable was considered.
This research with descriptive and collective methods was performed by putting the assumption into test and data disseminations of the research purpose, parametric test, and collective non parametric and regression analysis have been used in regard to decision making and research assumptions based on probabilities theories research ambiguities have been removed.
Research results indicate reverse and meaningful relationship between the amount of Free Floating stock and Equity Risk during the period of research has been performed
خلاصه ماشینی:
ﺟﺪول 3 - ﻧﺘﺎﻳﺞ ﺗﺤﻠﻴﻞ رﮔﺮﺳﻴﻮن ﻣﺘﻐﻴﺮﻫﺎی ﻣﺴﺘﻘﻞ و واﺑﺴﺘﻪ ﺑﺎ ﺣﻀﻮر ﻣﺘﻐﻴﺮ ﺧﻮدﺑﺎزﮔﺸﺖ ﺗﺤﻠﻴﻞ رﮔﺮﺳﻴﻮن ﺗﺮﻛﻴﺒﻲ ﻣﺘﻐﻴﺮ واﺑﺴﺘﻪ: درﺻﺪ ﻧﻘﺪﺷﻮﻧﺪﮔﻲ، ﺗﻌﺪاد دوره: 01، ﺗﻌﺪاد ﺗﻘﺎﻃﻊ: 05، ﺗﻌﺪاد ﺗﺮﻛﻴﺐ: 054 ﺧﻄﺎی t ﺳﻄﺢ ﻣﻌﻨﻲداری آﻣﺎره ﺿﺮﻳﺐ ﻧﺎم ﻣﺘﻐﻴﺮ اﺳﺘﺎﻧﺪارد 0000/0 227352/6 270000/0 054000/0 ﺿﺮﻳﺐ ﺛﺎﺑﺖ 534564/ 410/0 862000/0 166000/0- ﻣﻴﺰان ﺳﻬﺎم ﺷﻨﺎور آزاد 392000/0 ﻣﻴﺎﻧﮕﻴﻦ ﻣﺘﻐﻴﺮ واﺑﺴﺘﻪ 704160/0 ﺿﺮﻳﺐ ﺗﺸﺨﻴﺺ 966000/0 اﻧﺤﺮاف ﻣﺘﻐﻴﺮ واﺑﺴﺘﻪ 802750/0 ﺿﺮﻳﺐ ﺷﺨﻴﺺ اﺻﻼح ﺷﺪه ﻣﺠﻤﻮع ﻣﺮﺑﻊ اﻧﺤﺮاﻓﺎت ﺗﻮﺟﻴﻪ 981000/0 056000/0 اﻧﺤﺮاف ﻣﻌﻴﺎر رﮔﺮﺳﻴﻮن ﻧﺸﺪه 861439/1 آﻣﺎره دورﺑﻴﻦ-واﺗﺴﻮن 64226/41 آﻣﺎره F 100000/0 ﺳﻄﺢ ﻣﻌﻨﻲداری F *ﻣﻨﺒﻊ: ﻳﺎﻓﺘﻪﻫﺎی ﭘﮋوﻫﺸﮕﺮ ﺑﺮای ﻛﻨﺘﺮل اﻧﺪازه ﺷﺮﻛﺖ در ﺑﺮرﺳﻲ ﺗﺄﺛﻴﺮ ﺳﻬﺎم ﺷﻨﺎور آزاد ﺑﺮ رﻳﺴﻚ ﻗﻴﻤﺖ ﺳﻬﺎم از ﻣﺘﻐﻴﺮ ﻣﺠﺎزی ﺷﺮﻛﺖﻫﺎی ﻛﻮﭼﻚ و ﺑﺰرگ اﺳﺘﻔﺎده و ﻣﺪل آن در ﺟـﺪول 4 ﻧﻤـﺎﻳﺶ داده ﺷﺪه اﺳﺖ.
ﭘﮋوﻫﺸﻨﺎﻣﻪ ﺣﺴﺎﺑﺪاری ﻣﺎﻟﻲ و ﺣﺴﺎﺑﺮﺳﻲ، ﺳﺎل ﭼﻬﺎرم، ﺷﻤﺎره ﺳﻴﺰدﻫﻢ، ﺑﻬﺎر 1931 ﻣﺨﺎﻟﻒ اﻳﻦ آزﻣﻮن ﺑﺮاﺳﺎس ﻋﺪم ﺑﺮاﺑﺮی ﺿﺮاﻳﺐ ﺛﺎﺑﺖ ﻣﺘﻐﻴﺮﻫﺎی دو ﻣﺪل ﺑﻪﺻﻮرت زﻳـﺮ ﻣﻄﺮح و ﻣﻮرد آزﻣﻮن ﻗﺮار ﮔﺮﻓﺘﻪ اﺳﺖ: H 0 : S B H1 : S B ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ اﻳﻨﻜﻪ آﻣﺎره Fﻣﺤﺎﺳﺒﻪ ﺑﺎ ﻣﻘﺪار 1617/0، و ﻫﻤﭽﻨـﻴﻦ آﻣـﺎره 2 Xﺑـﺎ ﻣﻘـﺪار 1617/0، ﻛﻮﭼﻚﺗﺮ از ﻣﻘﺪار ﺑﺤﺮاﻧﻲ اﺳﺖ ﺳﻄﺢ ﺧﻄﺎی ﻣﺤﺎﺳﺒﻪ ﺷﺪه ﺑﺮای ﻫﺮ دو ﻣﺘﻐﻴـﺮ ﺑﺰرگﺗﺮ از 50/0 اﺳﺖ، در ﻧﺘﻴﺠﻪ ﻓﺮﺿﻴﻪ ﺻﻔﺮ رد ﻧﺸﺪه اﺳﺖ.
ﭘﮋوﻫﺸﻨﺎﻣﻪ ﺣﺴﺎﺑﺪاری ﻣﺎﻟﻲ و ﺣﺴﺎﺑﺮﺳﻲ، ﺳﺎل ﭼﻬﺎرم، ﺷﻤﺎره ﺳﻴﺰدﻫﻢ، ﺑﻬﺎر 1931 01- ﻧﺘﻴﺠﻪﮔﻴﺮی ﺑﺮ اﺳﺎس ﻧﺘﺎﻳﺞ ﺑﺪﺳﺖ آﻣﺪه از آزﻣﻮن ﻫﻤﺒﺴﺘﮕﻲ و ﺗﺤﻠﻴﻞ رﮔﺮﺳﻴﻮن راﺑﻄﻪ ﺑﻴﻦ ﻣﻴﺰان ﺳﻬﺎم ﺷﻨﺎور آزاد و رﻳﺴﻚ ﺗﻐﻴﻴﺮات ﻗﻴﻤﺖ ﺳﻬﺎم ﻣﻌﻜﻮس و ﻣﻌﻨﺎدار ﻣﺸﺎﻫﺪه ﺷﺪه اﺳـﺖ.