An application study in Amman Stock Exchange and Saudi Stock Exchange for the period (2013-2021)

A dissertation submitted to the council of the college Administration and economics university of Kerbala, as a partial fulfillment of the requirements to obtain Ph.D. Degree in the financial and banking sciences.

By:

Hussein Ahmed Jawad Al-Safi

 Under Supervision:

Prof. Dr. Haidar Yunis Khadem Al- Musawi

This study aimed at predicting the return and risk for the shares of institutions listed in the financial markets. The study was conducted in a number of institutions listed on the Amman Stock Exchange and the Saudi stock Exchange. The study sample included (5) institutions listed in Amman Stock Exchange and (5) institutions listed on the Saudi Stock Exchange The daily observations of the closing prices of the stocks of the study sample institutions were taken for the period (2013-2021). The study started from a problem that most investors suffer from in the financial markets, which is the state of uncertainty or inability to predict the return and risks of securities, which is still controversial in terms of the number of models used and the many methods of technical analysis, as well as it is one of the important topics to rationalize investors in making the optimum investment decision.

Hence, the study sought to achieve a number of goals, the most prominent of which was the application of prediction models for (Box-Jenkins) for time series and knowledge of the best model that could be applied to predict the risks and returns of securities, as well as assisting investors in making the best investment decision by removing or reducing the case uncertainty about the future.

For the purpose of achieving the objectives of the study, major hypotheses were formulated based on the study problem, and data were extracted, tested, and appropriate models were reached using the (Excel) and the (Gretl) statistical program. The study reached a set of conclusions, perhaps the most important of which is that the (Box-Jenkins) models are able to predict the data series of the study variables (R, sys, nonsys) in the two markets (the Saudi stock Exchange and the Amman Stock Exchange) after making the data series stable in relation to the arithmetic mean and variance.

Then the study concluded with a set of recommendations, the most important of which is urging investors to rely on the models that have been reached to predict the return and risk to help them make the optimal investment decision and develop future plans that will maximize the value of their investment portfolios.