الفهرس | يوجد فقط 14 صفحة متاحة للعرض العام |
المستخلص - 281 - 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 - 281 - 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 - 281 - 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 - 281 - 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: - 281 - 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 - 281 - 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 - 288 - 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: - 281 - 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. |