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Register a new userAnalysis of the status of shares related to the Banking Sector in Amman Stock Exchange, through the use of Time Series Analysis Model
تحليل حجم تداول أسهم البنوك المدرجة في بورصة عمان باستخدام نموذج السلاسل الزمنية
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سمرين سمير خليل ابو راضي( باحث )
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هدفت هذه الدراسة إلى تحليل واقع الأسهم في بورصة عمـان فـي قطـاع البنـوك باستخدام نموذج تحليل السلاسل الزمنية، وذلك من خلال تحقيق الأهداف التالية : ١ -تحليل اتجاه الأسهم في بورصة عمان للأوراق المالية في قطاع البنـوك باسـتخدام نموذج تحليل السلاسل الزمنية . ٢ -الحصول على سوق كفء بتطبيق الشروط الموجودة في السوق. ٣ -تحليل واقع الاتجاه العام لأسعار الأسهم في بورصة عمان للأوراق المالية وذلك مـن خـلال معدل دوران الأسهم وعلى مدى اثني عشر شهراً لمدى ثماني سـنوات مـن (٢٠٠٠-٢٠٠٧ (لإيجاد المتغيرات المؤثرة في الأداء. ٤ -التوصل إلى تحديد أهم مكونات السلسلة الزمنية التي تـتـأثر بها أسعار الأسهم في بورصة عمان للأوراق المالية (الموسمية، والدورية، والعشوائية) مع تحديد أي مـن هذه المكونات التي تخضع لها التغيرات السعرية للأسهم. ٥ -محاولة تحديد التوجه العام لاتجاه السلسلة الزمنية لأسعار الأسهم للفترة القادمة مـن خلال استخدام نموذج المكونات الأساسية. وقد قامت هذه الدراسة على ثلاث فرضيات رئيسة، وتكونت عينة الدراسة من البنوك المدرجة في بورصة عمان والمكونة من (١٧ (بنكاً، وتم استخدام برنامج الإكسـل لتحليـل بيانات معدل دوران الأسهم في بورصة عمان للتوصل إلى النتائج . وقد توصلت الدراسة إلى العديد من الاستنتاجات أهمها : - أظهرت النتائج إلى أن تأثر معدل دوران الأسهم في قطاع البنوك المدرجة في بورصـة عمان بالمتغيرات غير المنتظمة كان واضحاً، إضافة إلى تأثير التغيرات المتعلقة بالاتجاه العام والمتغيرات الموسمية والمتغيرات الدورية . - أظهرت النتائج أن حجم التداول يلعب دوراً كبيراً في تغيير مسار اتجاه الأسـعار، ففـي حالة ارتفاع الأسعار فإن زيادة حجم التداول شيء مطلوب، أما في حالة انخفاض الأسعار فإن المرغوب فيه هو خفض حجم التداول . وبناء على ما تقدم من استنتاجات، قدمت الباحثة مجموعة من التوصـيات المناسـبة لاستخدام نموذج تحليل السلاسل الزمنية في تحليل واقع الأسهم في بورصة عمان.
This study aimed to analyze the status of shares related to the banking sector in Amman Stock Exchange, through the use of time series analysis, relying on the achievement of the following objectives: 1- Analysis of the status of shares related to the banking sector in Amman Stock Exchange, through the use of time series analysis. 2- Access to an efficient market through the application of the conditions existing in the market. 3- Analysis of the status of the general trend of stock prices in Amman Stock Exchange, through the turnover rate of shares over twelve months for eight years starting from 2000-2007 in order to find the variables affecting performance. 4- Identifying the most important components of the time series affecting stock prices in Amman Stock Exchange (seasonal, periodical, and random), in addition to identifying which of these components are responsible for stock price changes. 5- Trying to determine the general tendency of the time series of stock prices for the coming period through the use of the model of basic components. This study was based on three major hypotheses. The study sample consisted of the banks listed in Amman Stock Exchange with a total of 17 banks. Furthermore, Microsoft Office Excel had been used to analyze the data of turnover rate of shares in Amman Stock Exchange to reach conclusions. The study came to a number of conclusions such as: • Results showed that the influence of irregular variables on the turnover rate of shares related to the banking sector, listed in Amman Stock Exchange, was clear, in addition to the impact of changes related to the general trend as well as the seasonal and periodical changes. • Results showed that the size of circulation plays a major role in changing the direction of prices. Thus, in the case of higher prices, increased circulation is desired, while decreased circulation will be the case for low prices. Based on the above conclusions, the researcher presented a series of suitable recommendations for the use of analysis model of time series in analyzing the status of shares in Amman Stock Exchange.
References used
Asai, Hiroo (1999). Randam – Walk hypothesis and time series analysis about stock price movement. http://www.is.nagoya-u.ac.jp/thesis/M2005/cm/M350401012e.pdf
Andersson, Jonas, and Lauvsnes, Svein Oskar (2007). Forecasting stock index prices and domestic credit: Does cointegration help ?. www.mtk.ut.ee/orb.aw/class=file/action=preview/id=236473
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