The effect of using the models for estimating the stocks portfolios returns at micro and macro level : standard and analytical study of industrial sector in Amman stock exchange (ASE)
Other Title(s)
أثر استخدام نماذج تقدير محافظ الأسهم على المستوى الجزئي و الكلي : دراسة قياسية و تحليلة لقطاع الصناعة في بورصة عمان
Dissertant
Thesis advisor
Comitee Members
Hamdun, Talal
al-Duri, Muayyad
al-Araj, Adnan
al-Mahruq, Mahir
University
Arab Academy for Financial and Banking Sciences
Faculty
The Faculty of Banking and Financial Sciences
Department
Department of Financial Management
University Country
Jordan
Degree
Ph.D.
Degree Date
2005
English Abstract
A dynamic capital market is an important segment of the financial system of any country as it plays a significant role in mobilizing savings and channeling them for productive purposes of any country.
Financial economists have extensively studied the analysis of the determinants of stock returns, considered the best model that explains the variations in stock return.
Accordingly, the researcher is concerned with specifying the determinants of stock returns at the industrial sector of Amman Stock Exchange (ASE).
The researcher in this study investigated a model that may predict the stock returns in the industrial sector of Amman Stock Exchange (ASE) by applying single factor (market return) Capital Asset Pricing Model CAPM and by applying Fama and French (FF) three factor model (market return, size, book-to-market) at the micro level, also by applying the Chen, Ross and Roll (CRR) four factor model (industrial production, term structure, unanticipated inflation and expected inflation) at the macro level.
In addition he tested to check if there is a long or short run relationship between unanticipated inflation and stock return.
The researcher employed Generalized Methods of Moments (GMM) technique to regress the variables in the three models, and used the Augmented Dicky-Filler (ADF) test and the Phillips Perron (PP) test to check if there is a unit root in the unanticipated inflation series and stock return series and used Johansen co integration test to check the long run relationship between the two series and used Granger causality test to check the short run relationship between the two.
The results showed that two common risk factors (market return and size) determine the stock return which is consistent with CAPM and two factors of Fama and French model.
Although the Chen, Ross and Roll model is a poorly fitting model in ASE to predict the stock returns of industrial sector, one factor of the model determines the stock return which is unanticipated inflation.
The results also showed that there is a long run relationship between unanticipated inflation and stock return, but there is no short run relationship between the two.
Main Subjects
Economics & Business Administration
Topics
No. of Pages
74
Table of Contents
Table of contents.
Abstract.
Chapter one : Methodology of the study.
Chapter two : Background and literature review.
Chapter three : Capital markets.
Chapter four : Results and discussion.
Chapter five : Conclusion and recommendations.
References.
American Psychological Association (APA)
Salamah, Husayn Muhammad. (2005). The effect of using the models for estimating the stocks portfolios returns at micro and macro level : standard and analytical study of industrial sector in Amman stock exchange (ASE). (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences, Jordan
https://search.emarefa.net/detail/BIM-306781
Modern Language Association (MLA)
Salamah, Husayn Muhammad. The effect of using the models for estimating the stocks portfolios returns at micro and macro level : standard and analytical study of industrial sector in Amman stock exchange (ASE). (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences. (2005).
https://search.emarefa.net/detail/BIM-306781
American Medical Association (AMA)
Salamah, Husayn Muhammad. (2005). The effect of using the models for estimating the stocks portfolios returns at micro and macro level : standard and analytical study of industrial sector in Amman stock exchange (ASE). (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences, Jordan
https://search.emarefa.net/detail/BIM-306781
Language
English
Data Type
Arab Theses
Record ID
BIM-306781
