التنبؤ و تقييم أداء المحافظ القطاعية و محفظة السوق : دليل من البورصة الفلسطينية

Abstract EN

This paper aims to evaluate and predict the portfolios sectors (banking and financial services, industry, insurance, investment, services, market portfolio) in Palestine Stock Exchange (PSE) from January 2013 - December 2016, this result used, Sharpe, Treynor, and Jensen indexes, to evaluate the performance of the portfolios sectors.

And (Box – Jenkins, 1976) Model was used Methodology, to Predict the performance of the portfolios sectors.

The results revealed that the reported progress the performance of the banking portfolio over the other portfolios.

The study also found, according to different methods and tests, the autoregressive model of degree one is the best model fitting the data.

The seasonal pattern of the series has little effects on the model.