اليات بناء مؤشر السوق وانعكاساتها على المخاطرة النظامية : بحث تطبيقي في سوق العراق للاوراق المالية == The Market Index Mechanisms And Its Impact On The Systematic Risk - Applied Research In The Iraqi Market For Securities
Author name:
بشار هاشم رنكه
Supervisor name:
اياد طاهر محمد الجبوري
General topic:
Administration and Economics
Specific topic:
Business Administration
Degree:
Master
University:
University of Baghdad - Faculty Of Administration And Economics - Department Of Business Administration
Language:
Arabic
University location:
Baghdad
First pages:
07T3491 - p.pdf
Abstract:
يعد مؤشر سوق الاوراق المالية احد المؤشرات الرئيسة للاستثمار في الاوراق المالية، اذ ترتبط المخاطرة النظامية باليات بناء مؤشر سوق الاوراق المالية، وتتجسد مشكلة الدراسة في جوانبها النظرية بوجود اليات لبناء المؤشر على اساس الترجيح بالقيمة السوقية او الترجيح | The stock market index is one of the main indicators of investment in securities, as linked to systematic risk build Securities Market index mechanisms, and the study embodied a problem in theoretical aspects the of mechanisms for the construction of the index on the basis of market value or weights equal or this individual share and price, on the other hand, the research problem is in systematic risk, which is one of the basics of investment securities, on the practical side, the construction of the index, according to these mechanisms reflect the systematic risk, and it has been chosen intentional sample (26 companies) of the shares listed on the Iraq stock Exchange companies Finance for a period of five years and a daily sessions (888 sessions).Along with the research issue, which discuss these point below : Do the market index mechanisms realistically measure systematic risk? Is that the mechanism used in the construction of Iraq Stock Exchange index accurately reflects the systematic risk? What are the most appropriate mechanisms in building Iraq Stock Exchange statistical notably {arithmetic mean, geometric mean and the correlation coefficient}. And of these questions aforementioned emerged hypotheses of the study, which centered on whether to reflect the different mechanisms of the market index and there were no significant differences in the risk of regulatory mechanism, and test three mechanisms for the construction of the index (stock price, market value, weights equal) in the Iraq Stock Exchange, and propose a fourth mechanism of a percentage of market value of shares traded to the market value of the company listed on the stock market within the index sample (as a future study). Notable among the findings of the study : in the financial market index values depending on the different mechanisms to build the index. And it does not mean convergence in the financial market index averages of the three mechanisms which previously discussed convergence of financial market returns. The direction of the stock market index up and down reflects a clear disparity in the financial market returns calculated on the basis of each indicator by mechanism built in isolation from each other, indicating the potential volatility of the index constituent stock returns and the attendant likelihood of systematic risk in the fluctuation.Of the key recommendations that emerged from the study : a study to choose another representative index sample through the historical information and activities of the company and traded volume in the financial market and the price of its shares and uninterrupted from the financial market and others funding sources (as a precaution to prevent money laundering within the financial market) during at least five years for companies included in the index is calculated, and then place the cursor to select the chosen sample.
