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Testing weak form efficiency in Damascus securities market: Acomparisation study with Amman, Muscat securities markets

اختبار الصيغة الضعيفة لكفاءة سوق دمشق للأوراق المالية دراسة مقارنة مع سوقي عمان و مسقط للأوراق المالية

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 Publication date 2017
  fields Business Management
and research's language is العربية
 Created by Shamra Editor




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This paper aims to test weak form efficiency in Damascus , Amman , Muscat securities market .It examines daily stock return index during ( 1 - 4- 2010 ) , ( 31 - 12 - 2016 ) using normal distribution test , runs test , autocorrelation test , unit root test , variance ratio test , auto regressive integrated moving average test



References used
Abbas . Ghada 2014 testing random walk behavior in the Damascus securities exchange , International Journal of Academic Research in Accounting, Finance and Management Sciences , Vol:4 No: 4, October , 317 - 325
( AL- PHAYOUMI , N et al 2003 , The effect of emerging markets characteristic on efficiency test : An applied study on Amman stock exchange , Dirasat , Managerial science , Vol 30 No2, 322 – 334 . ( IN ARABIC
( ALKARAAN , F 2013, The efficiency of Damascus securities exchange , Tanmiat AL-Rafdain , Vol 35 No 114 , 137 – 153 . ( IN ARABIC
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The research examines the Capital Asset Pricing Model (CAPM) in Damascus Stock Exchange (DSE), by using the monthly excess returns of (8) companies listed in (DSE), for the period of (2010-2013), and the monthly excess return of (DSE) index (DWX) for the same period. The researcher concluded that there is a significant relation between the volatility of the market excess return and the volatility of the excess returns of stocks of the examined companies, But the researcher also concluded that (CAPM) is not valid in (DSE), because of the failure in the statistical test. That the constant of the regression equation is not equal to zero and the slope of the security market line is not equal to the average excess return of the stocks of examined companies. The researcher recommended that this study should be retested when there are a suitable number of listed companies in order to form portfolios that can diversify away the effect of the unsystematic risk of each company, and to retest the CAPM after the crises, because the average excess returns for all of the examined companies were negative. Finally, the researcher recommended trying other models of asset pricing such as Arbitrage Pricing Theory (APT), and (Fama) Multifactor Model.
The objective of this research is to test the stability of systematic risk coefficients of stocks listed on the Damascus Securities Exchange through the period (4/1/2010 – 28/10/2013), and therefore the ability to use the values of these coefficients to calculate the required rate of return on investment in the individual stocks and portfolios. The data related to the closed prices of stocks and market index were collected from the website of DSE, which is used to estimate the values of systematic risk (Beta). Then the researcher has tested the stability of the coefficients throughout the entire period and the three sub-periods each one consists of five yearly quarters by using the time as a variable in the regression model, and by testing the significance of the coefficient of time variable. The results of the research show that greater than 80% of these coefficients were insignificant, that is, the higher percentage of stocks have a stable Beta, and can be used to calculate the required rate of return on investment, therefore suitable investment decisions may be made upon these results.
This study aimed to examine the weak form efficiency of the Damascus Securities Exchange (DSE). The study used the monthly returns, adjusted for thin trading, of firms listed in the Damascus Securities Exchange from 2009 until 2014 and applied var ious tests to examine the random walk behavior in returns: the unit root test, the autocorrelation test, the runs test and the GARCH model. To take the impact of the Syrian crisis into account when judging the efficiency of the market, the study period was divided into three periods, the pre-crisis period, the crisis period and the whole period. The results revealed inability to reject the weak form efficient market hypothesis for more than half of the studied firms. Also it showed that the Syrian crisis, in general, has negatively affected the efficiency of most of the studied firms.
The individuals’ Participation in the Securities Exchange plays an important role in the development of the financial market. Without the active and continuous participation, the financial market lacks the financial products and its liquidity, and also the increased participation leads to the creation of effective trading dynamics of buying and selling. This paper examines the impact of financial literacy on the individuals’ Participation in Damascus Securities Exchange. To achieve the objective of the study, data is collected based on a questionnaire specially designed for this purpose. And the questionnaire has been distributed to a sample of (384) individuals from the merchants and industrialists who are registered in the Damascus Chamber of Commerce and Damascus Chamber of Industry. The study to analysis data depends on using a software of Statistical Package for the Social Sciences known as SPSS. It has been used some statistical methods like repetition and percentages in addition to Chi-Square Test to examine hypotheses concerning the relationship between demographic variables and financial literacy, and a model logistic regression to study the impact of financial literacy on the individuals’s participation in the Damascus Securities Exchange The research finds that the financial literacy of the members of the respondents is very far from the desired level to participation in the Damascus Securities Exchange where only (22%) of respondents have a good level of financial literacy. In addition to that, the research highlights the presence of a statistically significant effect of financial literacy to participate in the securities exchange; the increasing financial literacy index from a low level to a better one leads to increase the likelihood of participation by (24%). The research also concludes two things that there is a relationship between each of the variables of gender, income and financial literacy, and on the other hand there is no relationship between the educational qualification and the financial literacy.
The study aimed to evaluate the efficiency of the performance of the brokerage firms and financial services operating in the Damascus Securities Exchange from the point of view of investors in the market, study sample included 150 investors, and u sed the questionnaire to investigate investors' opinions about brokerage firms operating in the market and the role they play during the period from December until the end April of 2015, where the answers were analyzed using spss program.
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