اقتصاد کشاورزی و روستایی

اقتصاد کشاورزی و روستایی

تحلیل اثر نامتقارن رشد نرخ ارز بر رشد شاخص سهام صنایع غذایی و شاخص کل بورس

مقالات آماده انتشار

نوع مقاله : مقاله پژوهشی

نویسندگان
شکیبا صادقی 1
فواد عشقی 2
سید مجتبی مجاوریان 3
مهسا تسلیمی 4
1 دانش آموخته کارشناسی ارشد اقتصاد کشاورزی، دانشگاه علوم کشاورزی و منابع طبیعی ساری، ساری، ایران.
2 استادیار اقتصاد کشاورزی، دانشگاه علوم کشاورزی و منابع طبیعی ساری، ساری، ایران.
3 استاد اقتصاد کشاورزی، دانشگاه علوم کشاورزی و منابع طبیعی ساری، ساری، ایران.
4 استادیار اقتصاد کشاورزی، موسسه پژوهش های برنامه‌ریزی، اقتصاد کشاورزی و توسعه روستایی، تهران، ایران.
10.30490/etr.2026.367592.1073
چکیده
ایران نیز همچون دیگر کشورهای در حال توسعه با بی‌ثباتی قابل توجه در متغیرهای کلان اقتصادی از جمله نرخ ارز و ارزش سهام روبه‌روست. شدت این نوسان‏‌ها، در مقایسه با اقتصادهای توسعه‌یافته، بیشتر است و چنین محیط پرمخاطره‏‌ای به ایجاد نااطمینانی در سطوح بالا برای سرمایه‌گذاران می‌انجامد. تغییرات نرخ ارز می‌تواند آثار متفاوت بر ارزش سهام شرکت‌ها داشته باشد و این تأثیرات، بسته به ساختار هزینه، نوع فعالیت و میزان وابستگی وارداتی یا صادراتی صنایع، متفاوت است. گروه صنایع غذایی در بورس اوراق بهادار ایران نیز که در حوزه تولید و عرضه محصولات غذایی فعالیت می‌کند، بخشی از تأمین مالی خود را از طریق بازار سرمایه انجام می‌دهد و طبیعتاً در معرض نوسان‏‌های ارزی قرار می‏‌گیرد. هدف پژوهش حاضر بررسی و مقایسه تقارن یا عدم‌تقارن اثر رشد نرخ ارز بر شاخص سهام صنایع غذایی در مقایسه با شاخص کل بورس بود. بدین منظور، داده‌های سری زمانی با تواتر روزانه طی دوره فروردین ۱۳۹۸ تا اسفند ۱۴۰۱ جمع‌آوری شد و مدل‌سازی روابط با استفاده از روش خودرگرسیون با وقفه‌های توزیعی غیرخطی (NARDL) انجام گرفت. نتایج برآورد مدل صنایع غذایی نشان داد که رشد نرخ ارز اثری منفی و نامتقارن بر این شاخص دارد، به‌گونه‌ای که شدت تأثیر افزایش نرخ ارز با کاهش آن متفاوت است. در مقابل، نتایج مربوط به شاخص کل حاکی از وجود اثر مثبت و متقارن نرخ ارز بر این شاخص بود. از آنجا که صنایع غذایی تنها بخشی از کل بورس را تشکیل می‌دهد و ناهمگنی ساختاری و وابستگی وارداتی در این صنعت بیشتر است، می‌توان نتیجه گرفت که اندازه شرکت‌ها، نوع فعالیت و ساختار هزینه از عوامل تعیین‌کننده در بروز عدم تقارن اثر نرخ ارز در این بخش به‏ شمار می‌‏روند.
کلیدواژه‌ها
روش خودرگرسیون با وقفه‌های توزیعی غیرخطی (NARDL)
اثرات نامتقارن
سهام صنایع غذایی
بورس اوراق بهادار تهران
عبور نرخ ارز.

عنوان مقاله English

Comparative Analysis of Asymmetric Effect of Exchange Rate Growth on the Growth of Food Industry Stock Index and Total Stock Market Index

نویسندگان English

Shakiba Sadeghi 1
Foad Eshghi 2
Seyed Mojtaba Mojaverian 3
Mahsa Taslimi 4
1 Graduated with a Master's degree in Agricultural Economics, Sari Agricultural Sciences and Natural Resources University, Sari, Iran.
2 Assistant Professor, Department of Agricultural Economics, Sari Agricultural Sciences and Natural Resources University, Sari, Iran.
3 Professor, Department of Agricultural Economics, Sari Agricultural Sciences and Natural Resources University, Sari, Iran.
4 Assistant Professor of Agricultural Economics, Institute of Planning Research, Agricultural Economics and Rural Development, Tehran, Iran.
چکیده English

Introduction: Developing countries such as Iran experience substantial instability in key macroeconomic variables, including exchange rates and stock prices. Compared to economically advanced countries, these variables exhibit greater volatility in the developing economies and thereby, creating an uncertain environment for investors. Consequently, enhancing investment and achieving sustainable economic growth requires close attention to the capital market, particularly the stock exchange. As one of the main pillars of the capital market, the stock exchange is significantly influenced by macroeconomic factors, among which exchange rate fluctuations play a crucial role. Exchange rate volatility affects investors’ expectations and investment decisions by increasing risk and uncertainty, ultimately influencing stock market performance and stock price indices. Moreover, exchange rate movements play an important role in shaping investment, exports, and imports. Through their impact on the import of raw materials, intermediate goods and capital goods as well as on the export of final products, the exchange rate fluctuations affect production processes and the level of private sector investment. The increased attention to the food industry is one of the most important factors influencing private sector and foreign investor investment, which will increase profitability, value added, and growth of the agricultural sector. The agricultural sector of Iran’s stock exchange is divided into five sub-sectors: food and beverage products and the same products except sugar, cubic sugar and sugar, agriculture and related services, clothing and textiles, and wood products. The food industry operates in various groups, including growing and preserving fruits and vegetables, producing animal and vegetable oils, and producing dairy products. Within the stock market, the food industry is classified into two main groups: cubic sugar and sugar-producing companies, and the same food products other than sugar. The food products group comprises 27 listed companies engaged in the production and supply of food products. These firms are typically listed on the capital market and meet a significant portion of their financial needs through capital market financing. Given the strategic importance of the food industry and its exposure to exchange rate movements, analyzing the effects of currency fluctuations on this sector is of relevance. One of the most important markets in any country that can greatly affect the real sectors of the economy is the financial markets, which are generally divided into two parts: the money market and the capital market. In the country, one of the methods of providing funding to strengthen the food industry is to use the stock exchange, which can provide part of the financial resources needed by the agricultural industry. The primary objective of this study is to compare the symmetric and asymmetric effects of exchange rate growth on the growth of the food industry stock index and the total stock market index.
Materials and Methods: The required data were collected as daily time-series observations covering the period from April 1, 2018, to March 31, 2022. To capture potential nonlinear and asymmetric relationships, the Nonlinear Autoregressive Distributed Lags (NARDL) approach was employed. Model estimation was conducted using a NARDL (4,0) specification for both the food industry stock index and the total stock market index.
Results and Discussion: The estimation results for the food industry stock index indicated that the exchange rate growth significantly affected the growth of the food industry index. Specifically, both positive and negative changes in the exchange rate exerted a negative impact on the growth of food industry stocks, implying the presence of asymmetric effects whereby the exchange rate growth— regardless of direction— reduced the stock index growth in this sector. In contrast, the long-run asymmetric estimation results for the total stock market index revealed that the coefficients associated with both the positive and negative asymmetric components of exchange rate growth were positive and statistically significant. Accordingly, in the long-run, the exchange rate growth had a positive effect on the growth of the total stock market index. To formally examine whether the effects of exchange rate growth were symmetric or asymmetric, the Wald test was applied. The results indicated that the exchange rate growth had an asymmetric effect on the growth of the food industry stock index. However, for the total stock market index, the Wald test results suggested that the effect of exchange rate growth was symmetric. The short-run estimation results for the food industry stock index showed that the asymmetric error correction coefficient corrected approximately 1.6 percent of the disequilibrium in each period (day). This finding implies that it takes about 17 days for short-run asymmetric deviations to be adjusted and for the food industry index to converge toward its long-run equilibrium.
Conclusion and Suggestions: Overall, the study findings demonstrate that the exchange rate growth exerts an asymmetric effect on the growth of the food industry stock index, whereas its effect on the growth of the total stock market index is symmetric. Given that the food industry constitutes only a segment of the broader stock market and exhibits greater sectoral heterogeneity than the overall market, differences in firm size, product diversity, and industry structure may explain the observed asymmetry in the impact of exchange rate fluctuations on financial market performance.

کلیدواژه‌ها English

Nonlinear Autoregressive Distributed Lags (NARDL)
Asymmetric Effects
Food Industry Stocks
Tehran Stock Exchange
Exchange Rate Transition.
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