الفهرس 
الإطار العام للبحثيوجد فقط 14 صفحة متاحة للعرض العام
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المستخلص
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Introduction
This study discusses the important role played by the stock markets
the backbone of the economy in light of the challenges of globalization,
financial liberalization, global financial crises, the commitment to
economic reform programs and structural adjustment application on the
Arab Republic of Egypt. And it refers to the pivotal role played by the
stock markets in achieving development and to stimulate economic growth
by encouraging specialization, and reduce the cost of information,
dissemination, and reduce the cost of mobilizing savings, and increase the
volume of investments. Many researchers have tried factors behind the
fluctuations in stock prices, and try to study them, and interpret, for use in
predict the future of these prices, and revenues description, which makes
investors are turning to it because of the security provided to them. And
their impact on profitability.
And it refers Egyptian Stock Exchange fell recently to the
continuation of bleeding global stock markets and the deterioration of
Arab and international markets as a result of the China’s economy
deteriorating and Reduction of its Yuan currency. The fall in oil prices and
reflected negatively on the Gulf markets, high volatility VIX index (fear
investors Index), which measures fluctuations in stock prices by about
14% in 08.25.2015 and more than 20% the previous week to him, its
highest level since the end of the last century, as well as take necessary to
control the hot money that affect negatively to enter and exit the
indiscriminate measures, to achieve the sidelines of a quick profit on
Achieve a profit margin at the expense of small investors account, and
immediately intervene in investment funds the government to create a real
maker of the Egyptian market, to reduce the impact of these large swings
when there is a global financial crises.
The efficiency of the stock market is one of the most important
topics in the field of investment science and Because it is the most
important of the assumptions underlying the modern theory of investment
in securities, both: portfolio theory, and a model of securities pricing, of
the most important assumptions underlying the modern theory of
investment in securities, both: portfolio theory, and a model of securities
pricing, this research is based on the building or to determine a
mathematical model is used as a system of warning Early an Early
Wearing System As for predicting fluctuations in revenues, and prices of
securities, to reduce or avoid the impact of these fluctuations on the stock
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Second: determine the research problem:
from all of the above crystallized problem Search: the urgent
need for the Egyptian Capital Market to: build or select a
mathematical model is used as a system of early warning An early
wearing system, to predict stock prices and returns. And it is suitable
for the interpretation of the time series of rate fluctuations and
rewards of stock behavior during the period of future time, based on
information from those prices or returns during the current period?
And whether those returns take into account the risk factor? Basic
and important indicators to measure the performance of the Egyptian
capital market in an attempt to reduce or avoid the impact of the
global financial crises in the future?
Third: hypotheses: hypotheses
Are formulated through the research problem and its causes and
backgrounds, namely: -
First hypothesis: There is no significant difference between the
development of the market value of listed companies in the
Egyptian capital market before and after the global financial crisis.
The second hypothesis: There is no significant difference between
the evolution of the size of listed companies in the Egyptian capital
market before and after the global financial crisis.
The third hypothesis: There is no significant difference between the
evolution of the degree of the depth of the capital market for listed
companies in the Egyptian capital market before and after the global
financial crisis.
Fourth hypothesis: There is no significant difference between the
evolution of the stock turnover of listed companies in the Egyptian
money market rate before and after the global financial crisis.
Fifth hypothesis: There is no significant difference between liquidity
and rates of economic growth securities market indicators before and
after the global financial crisis.
Fourth: The objective of the research: The main objective of the search:
Building a mathematical model can be used as an early warning for
predict fluctuations in revenues and Stock of potential losses, or
avoid impact for investors in the stock market, thereby maintaining
the continuity of trading operations and the lack of losses lead to
Failure to achieve of losses lead to its collapse lead to losses in the
presence of a global financial crisis in the presence of crises a
global financial
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Fifth: research methodology:
1. Inductive approach: to develop a theoretical framework and
hypotheses.
2. Deductive approach: to test the validity of hypotheses to be
accepted or rejected.
Sixth: Find variables:
1. Find identifies variables:
In order to test the validity of hypotheses have been identified
search as variables:
Table (1)
Find identify variables
Assumptions independent variables the dependent variables
The first EPS rate Dividend predicted returns and
equity ratio DVPvr
Y = the share price (closing) at
the end of the period n
Yc = annual income per share
(The amount of annualized
dividend per share)
Monthly average share price
during the period from Market
value of the shares
(Closing price at the beginning
of the year)
Predict fluctuations in revenues
and stock prices is composed of
three parts is:
Cash income: of distributions
which can be called a dividend
distributions.
Capital gains: arising from
price differences and called
growth return
The degree of risk: Country risk
CR- companies affected
companies were not affected
NON / CR
The second Volume is fair for each
company The Egyptian
capital market.
Exchange rate risk, interest rate
risk And market risk, and the
return of the capitalist share
Third degree of the depth of the
capital market for listed
companies in the Egyptian
capital market (the degree of
concentration)
Using the standard deviation as
a measure of uncertainty and
taking into account both
positive and negative deviations
except medium potential Using
the rate difference . rate
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variation, which measures the
degree of volatility of returns
over a given period using the
standard deviation
Value (market, and notebook)
and total assets size
Fourth Fourth stock turnover Volume + value of shares
traded
Fifth EGR of the state’s economic
growth rate
GDP + liquidity ratio indicators
Source: preparing by researcher
The proposed mathematical model is:
DVP ivr = a + B1 χ1 yti + B2χ2 ti+B3Rit2+B4LST+B5SMV+B6AVT+B7QCS+B8KCA
+ B9LCS+B10Lac+B11FERR +B12IRR+ B13CR +
+ B14TRD+ B15 GDP +B16 EGR +B17∞it
Seventh: The difficulties faced by the researcher
It can be summed up as follows :
1- The difficulty of obtaining data on the study sample comparison
shop some years because of the closure of the stock market for
several months in 2011 because of lawlessness.
2- Difficulties summit in the large number of bulletins daily stock
market represented throughout the year from 71 a month before
the crisis and 71 months after the occurrence of the global crisis
for comparison, which Forced researcher to take weighted
averages for the application of the program SPSS statistical
applied them.
3- Number of published lists underwent Applied study of 360
amounted to list 30-company sample and in addition to the
number 360 list of income for 30 to sample the company for a
period of 12 years (6 years prior to the crisis +6 years after the
crisis) a sum of the final = 720 List.
Eighth: the importance of research:
The importance of the subject of research in the following points:
A- at the community level:
The importance of research at the community level through the results
in a number of recommendations that help boost the Egyptian stock
market efficiency to deal with external and internal challenges faced
by Egypt.
(B) At the scientific level:
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Is considered one of the important subjects of research topics on the
scene, whether in Egypt or in most countries of the world, because it
affects a broad sector of the national economy sectors dealing
estimated magnitude of billions comes mostly trading in foreign
currencies.
(C) On a personal level:
Is the subject of scientific research in addition to the academic and
applied level, and a starting point for researchers to do other research
in the future, where global financial experts expect that the global
financial crisis take a period of time to disappear negative effects
estimated at 10 years to come?
Ninth: The required data: They are divided into two types of data are: -
(A) raw data: Search needs a set of data for selected companies in
the sample this data are as follows: -
1) the announcement of the daily closing prices of dates.
2) The trading of the shares of companies the size of the sample
(B) secondary data:
To achieve the purpose of the research was to use the
data contained in books and periodicals, letters addressed to
predict fluctuations in revenue share prices mathematical
and statistical models proposed to solve the prediction to
reduce or get out of the impact of frequent global financial
crisis and reflected on the stock market and thus investment
decisions and indicators of liquidity and growth rates and
problems of the economy National. The data published lists
of the 30 sample companies as follows: -
30 X 12 almost a year (71 months before the crisis +71 a
month after the crisis) which are:
30X 12 almost a year (6 years + 6 years prior to the crisis is
the crisis) = 360 budget.
30X 12 almost a year (six years before the crisis + 6 years
after the crisis) = 360 List income.
If the number of lists that have been analyzed = 360 +360 =
720 List.
3. Analysis Methods used in the research include the following: -
A- statistical analysis method: The researcher will use both:
1) test and Wilcoxon: (Wilcoxon Signed Ranks Test)
To find out the values of variables on two occasions any
Knowledge of the level of efficiency of the rates of
Performance before and after the global financial crisis by
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Using the proposed model to make sure of the validity of
Hypotheses.
2) Test T marital views :( Paired Sample T. Test)
to test the moral difference between the degree of the depth of
The Egyptian capital market during the period from
15/09/2002 to 15/08/2008 and 15/09/2008 to 09/15/2014
3) Multiple regression analysis (Multiple Regression Analysis)
In order to identify the impact of profit price and exchange rate
Risk on stock returns Successive) as well as regression analysis in
Successive stages to reach the best model expresses the
Relationship between the independent variables and the
Dependent variable, which achieves Average squares error
(MSE) and the highest coefficient of determination (R2) and the
smallest value for the count (Cp) and each company separately.
4) Analysis of variance test (ANOVA)
to make sure the moral relationship between the independent
variables and actress for Actress financial risks and the dependent
variable and Representative yield per share for companies more
active in the Egyptian capital market.
5) Autocorrelation test between Overstocks by Derain Watson DW test.
6) The use of statistical program:
(Statistical Program for Social Science) SPSS to conduct a statistical
analysis of the data to prove the validity of hypotheses.
Tenth: Results
Results of the first hypothesis:
As a result of statistical analysis and technical showing the
invalidity of The first hypothesis:
(Null hypothesis) and accept the alternative hypothesis which is:
There is a significant difference between the development of the
market value of listed companies in the Egyptian capital market
before and after the event (global financial crisis).
Results of the second hypothesis:
As a result of statistical analysis and technical showing the
invalidity of the second hypothesis (null hypothesis) and accept the
alternative hypothesis which is: There were statistically significant
between the evolution of the size of the Egyptian capital market
companies before and after the event relationship
Results of the third hypothesis:
As a result of statistical and technical analysis shows the invalidity
of the third hypothesis (null hypothesis) and accept the alternative
hypothesis which is: There were statistically significant between the
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evolution of the degree of the depth of the Egyptian capital market
relationship before and after the event.
Results of the fourth hypothesis:
as a result of statistical and technical analysis shows the invalidity
of fourth hypothesis and accept the alternative hypothesis which
there are statistically significant differences between the evolution
of the stock turnover and its location in the Egyptian capital market
relationship before and after the event.
The consequences of the imposition V:
As a result of statistical analysis showing the technical acceptance
of the hypothesis (null hypothesis) and reject the alternative
hypothesis which does not have a positive and significant
relationship between stock market liquidity indicators and
economic growth rates
In terms of the ability of the application form:
The results confirm the applicability of the proposed model as an
early warning system for predict fluctuations in stock returns in
the Egyptian capital market has been proven to examine the five
hypotheses to find that all of these variables were examined and
tested, namely: market value, the degree of market depth, the size
of listed companies, turnover stock, and indicators of liquidity of
securities in the Egyptian capital market had an impact on the
development of the Egyptian Capital market and liquidity of the
stock, ”that there is a positive and significant relationship
between stock market indices and rates economic growth and this
demonstrates the validity of the proposed model applied if the
investor took all of these variables
Eleventh : Recommendations
1. Recommendation:
The Egyptian Stock Exchange in order to accurately reflect the
economic situation. It must move away from the speculative
nature and tend to real investments and taking into account the
economic returns and achieve economic efficiency.
System and method of implementation:
the application of the quality of services provided by the stock
exchange system, which was the result of the search results with
the presence of justice and transparency standards in the
administration in order to achieve the performance of a sound
within the stock market the beginning of the existence of internal
control systems and continuous assessment of the performance
through independent of the executive management
The proposed time period for implementation: short term.
The cost of implementing the proposal:
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The Egyptian currency and foreign currency.
Style and proposals management of the financial aspects:
The Council of the General Authority for Financial Control
Management monitors the stock market performance and ensure
compliance with transparency standards, which have penalties
may amount to a withdrawal of license offending companies
operating in the fields of brokerage, and investment in securities.
The final yield of the implementation of the recommendation:
the optimal application of the system of quality of services
provided by the stock market will greatly benefit the Egyptian
economy in general and the stock market in particular and makes
investment in the stock market real investment puts in its
calculations economic return because the treatment of economic
problems depends on investment and on the existence of
efficiency economic.
2- Recommendation:
Modify the relative weights in the index after failing stability.
System and method of implementation:
After the Egyptian Stock Exchange played a major blue chip
stocks in the market a pivotal role in that vibrations due to the
acquisition of the largest percentage in the benchmark index, in
which about a fifth of companies only controls: Commercial
International Bank and Orascom Construction Industries and
Orascom Telecom Holding and Finance Hermes and Egyptian for
Tourism Resorts Adding Hisham Talat group to that list a senior
relative weights of these major blue chip stocks in the market.
Implement the proposed time period: Periodically quarterly.
The cost of the proposed implementation of the Egyptian
currency or foreign currency: Not more than the relative weight
of any shares to 10% of the total ingredients maxes.
Style and proposals management of the financial aspects:
through the development of market indicators, especially EGX30,
which saw a lot of confusion and suggestions: put the weighting
of indicators inevitability weighted index is headed by market
capitalization weighted by free float with the establishment of
maximum limits of the relative weights of the components so that
the relative weight of any shares not more than 10% of the total
ingredients and maximum review weights on a quarterly basis.
The final yield of the implementation of the recommendation:
Reducing the apparent disparity in the relative weights and a
limited number of listed companies in control cursor movement
as well as a justice in the distribution of relative weights
inclusion and thus achieve an economic boom.