السيولة وتقلبات عوائد الأسهم دراسة في سوق عمَّان للأوراق المالية

Authors

  • رانيا الزرير
  • رنيم الدكي

Abstract

This study sought to examine the liquidity measures of different kinds to see which measure represents a market liquidity better, on the grounds that there is no clear measure expresses the concept of liquidity, then study the impact of liquidity arrow on the monthly stock returns volatility in Amman Stock Exchange, during the period 1-1-2000 till 30-9-2014, and to discover what kind of relationship (positive or negative correlation. When using matrix correlation between liquidity measures, shows that the proportion of the volatility of the stock turnover rate is the best crossing measure of liquidity in the Amman Stock Exchange, and by using the method of Nonlinear regression analysis method GARCH (1,1) to process the data related to index ASE Finance, we found that the relationship between liquidity and volatility of stock returns was statistically significant, and positive. This volatility in stock returns must be taken into account as an important factor when trying to explain the reasons for fluctuations in Stock Return Volatility or when predicting.

سعت هذه الدراسة إلى البحث في مقاييس السيولة بأنواعها المختلفة، لمعرفة أي مقياس يمثل سيولة السوق بشكل أفضل،لاسيما أنه لا يوجد مقياس واضح يعبر عن مفهوم السيولة، ومن ثم دراسة أثر سيولة السهم على تقلبات عوائد الأسهم الشهرية في سوق عمَّان للأوراق المالية، خلال الفترة1-1-2000  ولغاية 30-9-2014، وإلى معرفة نوع تلك العلاقة (طردية أم عكسية)، ولدى استخدام أسلوب مصفوفة الارتباط بين مقاييس السيولة تبين أن نسبة تقلب معدل دوران الأسهم هي أفضل مقياس معبر عن السيولة في سوق عمَّان للأوراق المالية، وباستخدام أسلوب تحليل الانحدار غير الخطي GARCH(1,1)، تبين أن العلاقة بين سيولة السهم وتقلبات عوائد الأسهم مهمة إحصائياً وطردية، ولذا فلابد من أخذ سيولة السهم بعين الاعتبار كونها عاملاً مهماً عند محاولة تفسير أسباب تقلبات عوائد الأسهم في السوق أو عند محاولة التنبؤ بها.

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Published

2018-10-23

How to Cite

1.
الزرير ر, الدكي ر. السيولة وتقلبات عوائد الأسهم دراسة في سوق عمَّان للأوراق المالية. Tuj-econ [Internet]. 2018Oct.23 [cited 2024Nov.25];39(6). Available from: https://journal.tishreen.edu.sy/index.php/econlaw/article/view/4295

Issue

Vol. 39 No. 6 (2017): العلوم الاقتصادية والقانونية

Section

Articles

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