الاتجاهات العشوائية و التكاملية في سلوك الاسعار في اسواق الاوراق المالية الخليجية و تاثيرها على فرص

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2014

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2015

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2003

2012

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price behavior in GCC Stock Markets and its effects on international diversification

abilities. The data consists of daily stock prices indices of GCC stock markets along

international stock exchanges, starting from January 2003 until October 2012. The

individual stochastic investigation is conducted by means of the unit root tests and

autocorrelation test of returns. The Autoregressive models of returns are also

applied to examine their predictability. To examine the international integration of

GCC stock markets, new techniques have been used, as co-integration model,

granger causality test, impulse–response function, variance decomposition,

correlation matrix and ICAPM models.

The results show that GCC stock markets have a high extent of risk

associated with increased returns, characterized by nonlinear dynamics. As to the

unit roots tests, it seems that most of stock market indices under scrutiny (except

Kuwait, Qatar and Mascot) contain stochastic trends, thus are non

-stationary in

level, but they tend to be stationary in first difference, indicating that the majority of

them are only weak form efficient in level. Besides these tests, it was found

significant autocorrelation coefficients among the daily return series in most of

stock markets (except Dubai), suggesting that they do not follow a random walk. In

the same context, it was found a strong relationship among actual and past returns

in most stock markets (unless Dubai). This evidence implies that returns may be

predictable in short term on the basis of past information on returns.

On other side, the tests revealed the weakness of integrations and

relationships between GCC stocks markets themselves and other international stock

markets under study, with some exceptions, notably when it comes to the case of

Saudi Arabia, Dubai and Abu Dhabi. As much as these results consist with other

earlier studies, it's also considered as an invitation to international investors to

exploit the investment and diversification opportunities provided by GCC stocks

markets in terms of reducing risks and optimizing returns.

Key Words:Random Walk Hypothesis, Weak-form of the Efficient Stock Market Hypothesis, Return's Predictability, Unit Root Test, Autocorrelation Test, AR Models, Co-integration Model, VECM, Granger Causality, Impulse–Response Function, Variance Decomposition, Correlation Matrix, ICAPM Models, International Portfolios Diversification, GCC Stock Markets.

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---149

6

----151

7

2003

–

2012

---167

8

2003

–

2012

170

9

2005

–

2012

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---172

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2003

–

2012

----175

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2012

----177

12

2012

---179

13

2012

---180

14

---182

15

-

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-

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17

---191

18

)

(

---197

19

)

(

---199

20

)

(

---200

21

)

(

---201

22

---204

25

1980

–

2008

---296

26

2004

–

2012

---301

27

1990

–

2012

---302

28

)

(

2004

–

2012

---302

29

---303

30

2011

–

2012

---304

31

–

:

---307

32

--310

33

311

34

312

35

313

36

---314

37

---

---

----

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38

----

---316

39

ACWI

--

---317

40

317

41

:

---323

42

:

---324

43

---329

44

---329

45

---329

46

---330

47

---330

48

---330

49

---331

50

---334

51

---335

52

--337

53

--337

54

---338

55

---338

56

---338

57

ACWI

---339

58

EAFE

---339

59

---339

60

---346

61

)

(

----347

62

)

(

---348

3

Efficient Frontier

---46

4

---50

5

---54

6

---61

7

---69

8

---92

9

---112

10

1871

–

2003

---116

11

S&P

----125

12

MA (q

)

-

--127

13

AR (1)

---129

14

IBM

---133

15

---134

16

---138

17

TS

---140

18

DS

)

(

--142

19

---142

20

---143

21

---144

22

2008

--168

23

2012

---169

24

---171

1

/

1

/

2003

-31

/

10

/

2012

-

---26

2003

–

2012

---194

27

---198

28

1970

–

2002

--227

29

1970

–

2005

---244

30

CML

---251

31

SML

---252

32

---291

33

–

2010

---298

34

-308

35

---318

36

---326

37

---326

38

---327

39

---

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40

---328

41

-341

42

---342

.

.

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–

-.

.

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"

"

The Law of one Price

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I

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:

2003

2005

.

2006

.

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2008

–

2009

.

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.

Co-.

:

1

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2

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3

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4

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5

.

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II

.

:

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IV

.

:

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:

.

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.

V

.

:

.

.

.

Jarque - Bera

)

–

Augmented Dickey – Fuller Test

–

Phillips - Perron Test

KPSS

(

Autocorrelation Test

.

Cointegration Test

-)

Engle - Granger

(

(Johansen)

VECM

.

Granger Causality Test

.

ICAPM

.

2003

2012

.

.

Journal

Yahoo Finance

.

)

)

(

(

.

.

.

VI

.

:

.

.

.

.

.

.

VII

.

:

Efficient Stock Market Hypothesis

.

.

.

.

Louis Bachelier (1900)

.

)

Regnault (1863)

Bachelier (1900)

Olivier (1926)

)

1927

(

Milles

)

1933

(

Cowles

)

1934

(

Working

Kendall (1953)

)

1959

(

Roberts

)

1959

(

Osborne

Alexander (1961)

Cootner (1962)

Granger & Morgenstern

(1963)

Moore (1964)

Samuelson (1965)

(

.

Eugen Fama

.

.

.

(

1965)

Fama

.

30

(AJDIA)

1956

–

1962

.

.

AJDIA

.

Lo & MacKinlay (1988)

Lee (1992)

Variance Ratio

.

Al-Loughani & Chappel (1997)

FTSE 30

Random Walk

.

)

)

1980

(

Grossman

&

Stiglitz

Orléon (2004)

(

)

Shiller (2001)

Gillet & Szafraz (2004)

Rozeff & Kinney (1976)

(

.

Kahneman &

Tversky (1979)

Shleifer (2000)

Rabin & Thaler (2001)

Orléan (2004)

)

Lo (2004)

Soros (2008)

.(

.

.

Urrutia (1995)

.

)

(

.

Poshakwale (1996)

Run Test

.

.

)

2000

(

Mobarek and Keasey

1988

–

1997

)

Normality

Test, Run Test

Kolmogrov – Smirnov

(

)

.

Pandey (2003)

1996

2002

.

.

Pradhan et al. (2009)

Unit Root

)

(

2007

2009

.

Kim & Shamsuddin (2008)

.

.

(2012)

Nikita & Soekarno

2008

–

2011

.

)

Worthington & Higgs (2004

:

:

.

)

Hassan et al. (2006

1988

–

2002

)

Q

.(

)

(

.

)

Tas and Dursonoglu (2005

1994

–

2004

.

Hakim and Neaime (2002)

MENA

)

(.

.

Filis (2006)

)

GARCH

(

–

.

Gunduz & Omran (2000)

1997

-2000

.

)

ADF

PP

DF-GLS

KPSS

(

.

.

Gandhi et al. (1980)

.

.

.

El-Erian & Kumar (1995)

Butler & Malaikah (1992)

.

loughani

(1995)

Al

.

.

Khababa &

Noureddine (1998)

.

Dahel & Laabas (1999)

:

.

1994

1998

)

(

.

.

Abraham et al. (2002)

:

.

Moustafa (2004)

.

40

43

.

2001

-2003

.

Squalli (2006)

2000

–

2005

.

.

)

2012

(

& Al-Jafari

Abdulkadhi

.

)

(

)

2003

–

2010

(

.

.

)

2012

(

Al-Saleh

&

Al-Ajmi

1994

–

2007

.

)

(

.

.

.

.

.

.

.

.

(Eun & Lee (2010a))

.

(Morana & Beltratti (2008), Berben & Jansen (2005))

.

.

Hilliard (1979)

1973

–

1974

.

Hilliard

Simultaneously

.

Kasa (1992)

Multivariate Cointegration

Common Stochastic Trend

.

.

De Santis & Gérard (1997)

GARCH

ICAPM

.

)

(

.

Dumas & Solnik (1995)

(Carrieri (2001), De Santis et al. (2003), Arouri (2005), Hardouvelis et al. (2005))

.

Co-movements

–

(Hawawini (1994))

.

Harvey & Bekaert (1995)

.

ICAPM

.

Adler & qi (2003)

Carrieri et

al. (2005)

.

.

Levy & Sarnat (1970)

.

.

1951

–

1967

28

-Markowitz Efficient Frontier

-.

Darrat et al (2000)

MENA

)

(

1996

–

1999

.

Johansen-Juselius

MENA

.

.

Gunduz & Omran (2000)

MENA

)

.(

.

.

Assaf (2003)

1997

–

2000

.

Interdependence

Feed back

.

Girard et al. (2003)

Variance -Covariance

.

)

2004

(

.

ICAPM

1994

–

2004

.

Neaime and Hakim (2002)

–

.

)

(

.

.

Abu Zarour (2006)

)

(

.

Impulse - Response Functions

SVAR Model

.

.

Marashdeh (2006)

MENA

)

(

.

.

move

together

.

.

.

.

Arouri (2007)

.

ICAPM

GARCH

.

.

Pui Sun Tam & Pui I Tam (2012)

.

.

.

Mustafa

(2012)

VECM

.

)

TASI

(

.

Marashdeh & Shrestha (2010)

.

ARDL

.

.

.

.

.

VIII

.

:

–

.

.

.

.

.

.

:

.

.

.

.

.

.

.

.

.

.

.

:

:

.

.

)

(

.

.

.

.

.

I

.

Financial Markets

.

1

.

2

.

:

.

.

1

.

) : 1998 ( . 27 . 2

.

) : 2003 ( . 19 .

1

.

Money Markets

.

1

.

.

2

Money Risk

)

(

Credit Risk

.

3

2

.

Capital Markets

.

.

.

4

)

(

.

)

...

(

.

5

.

.

:

.

2

.

1

.

Primary Market

.

.

6

1

.

) : 1995 ( . 6 . 2

. Wanis Farag Abdel Aal,"the Role of the Financial Institutions in Promoting Capital Flows and Investment,"

Journal of the Gulf and Arabian Peninsula Studies, Vol. xxiv, N° 94 (1999), p. 180.

3 . . 31 . 4

.

. 72 . 5

.

... . 6 . 6

.

.

1

.

2

.

2

.

Secondary Market

.

.

2

.

.

.

.

.

)

(

)

(.

2

.

2

.

1

.

Organized Market

.

3

.

1

. Reena Aggarwal, ‘’Stock Market Development: Role of Securities Firms and New Products,’’ Working Paper

Prepared for the World Bank Workshop on Non Bank Financial Institutions: Development & Regulation, Washington DC. (January 1999), p. 7.

2

. Jean Pierre Faugére, Collette Voisin, Le Système Financier Monétaire International: Crise et Mutation, 5e

Edition (Paris: Nathan,2000), p.150.

3

.

.

New York Stock Exchange

(NYSE

)

Amirican Stock Exchange

.

Stock Exchanges

Regional

.

2

.

2

.

2

.

Unorganized Market

"

Over the Counter

"

.

.

1

.

.

.

2

II

.

.

.

.

.

3 1

. Eric Benhamou, Thomas Several, "On the Competition between ECNs, Stock Markets and Market Makers,"

Working Paper Published by Alexandria & Cairo Exchange, Egypt (December 1999), p. 2.

2

. Jack Clark Francis, Investments: Analysis and Management, 4th Ed. (New York: McGraw - Hill, Inc, 1976), p. 61.

3

. Ross Levine, Asli Demirguc- Kunt, "Stock Market Development and Financial Intermediary: A Research

1

.

.

.

:

.

1

Market Capitalization

-)

(

.

)

%

(

=

)

÷

(

100

.

.

.

2

.

.

3

.

2

.

Liquidity

.

.

1 .Ibid., p. 6. 2

.World Federation of Exchanges, “Statistical Definitions," Annual Report and Statistics, Paris (2003), p. 70.

3

.

" : " 58 ) 1999 ( . 26 .

.

1

.

:

.

Traded Value

Ratio

:

)

%

(

=

)

÷

(

100

.

.

Turnover Ratio

.

2

=

)

÷

(

.

3

.

.

4

3

.

Market

Concentration

.

.

5

.

6

.

1

.

. 27 . 2_.

Levine, Demirguc - Kunt,"Stock Market Development …," Op. Cit., p. 6. 3

. Nagwa Abdullah Samak, Omneia Amin Helmy, "Foreign Portfolio Equity Investment in Egypt: An Analytical

Overview," Working Paper, Cairo & Alexandria Stock Exchange, Egypt, p. 29.

4

.

" ... " . 27 . 5

.World Federation of Exchanges," Statistical Definitions," Op. Cit., p. 71.

6

.

. 168 .

4

.

Volatility

.

.

.

1

"

"

Schwert Measure

.

.

2

.

.

3

.

:

Inside Trading

4

.

.

5

.

.

1

. Riad Dahel, "Volatility in Arab Stock Markets," Working Paper Presented at the Workshop on ‘’Arab Stock

Markets: Recent Trends and Performance’’ Organized at the Arab Planning Institute (March1999), p. 12.

2 .Ibid., p. 23. 3

.

" : ) " 2004 ( . 72 -73 . 4 . " ... " . 31 -32 . 72 – 117 .

.

1

R

E(R)

.

.

2

)

0

)

(

(

E

R

R

.

3

6

.

.

4

.

.

5

Demirguc-Kunt

Levine &

:

6

–

.

"

1

"

"

0

"

.

1

.Levine, Demirguc- Kunt,"Stock Market Development and Financial Intermediary…,"Op. Cit., pp. 10 - 11.

2

.

. 40 . 3

. Eugene Fama, "Efficient Capital Markets: A Review of Theory and Empirical Work", Journal of Finance, Vol.

25, Issue 2 (May 1970), pp. 384 - 385. 4

.

" " ) 2005 ( . 6 -8 . 5

.Aggarwal, Op. Cit., p.18.

6

.

"

0

"

"

2

".

-.

.

.

III

.

.

Security

.

1

.

.

.

1

.

Equity Instruments

.

.

.

2

1

.

1

.

:

Common Stocks

3

.

4

.

1 . ... . 5 . 2 . "

"

: http//www.kautakji.org/fikh/Economics.htm 3

.

... . 7 . 4

.

. 60 .

.

.

.

*

.

.

1

.

2

.

3

Dividends

.

.

.

4

.

.

.

Cash Dividends

Stock Dividends

.

.

5

*

.

. 1

.

) : 2005 ( . 25 -26 . 2

.Pascal Quiny, Yann le Fur, Finance d’Entreprise, 5e Edition (Paris: Dalloz), p. 541.

3 . . 60 . 4

.

: ) : 2005 ( . 89 . 5

.

. 438 .

1

.

2

.

:

Preferred

Stock

.

1

.

.

.

.

.

2

.

.

.

.

3

.

.

.

4 1 . ) : 2004 ( . 258 . 2

.

: ) : 2003 ( . 85 . 3

.Francis, Op. Cit., pp. 34 – 35.

4 . ... . 27 .

2

.

Debt Instruments

.

.

.

2

.

1

.

:

Bond

.

.

.

1

)

(

.

2

.

.

.

.

3

2

.

2

.

:

.

.

4

.

.

1

.

" " 27 ) 2004 ( . 6 . 2

.

. 66 . 3

.

. 67 . 4 . ) : 2002 ( . 62 .

)

(

.

.

3

.

Derivatives

.

.

.

1

.

.

2

.

.

3

.

1

.

:

Forward Contracts

.

.

.

3

)

(

)

(

.

.

3

.

2

.

:

Future Contracts

.

.

1

.Simon Gray, Joanna Place, "Financial Derivatives ," Handbook in Central Banking, Centre for Central Banking

Studies, Bank of England, London, N°, 17 (March 1999), p. 5.

2

.

: ) : 2001 ( . 11 . 3_.

.

1

.

.

.

.

2

.

.

.

3

.

3

.

:

Options

.

.

3

)

(...

Premium

.

4

European Option

.

American Option

.

5

Exercise/ Striking Price

.

1

.

. 31 . 2

. Scannavino, Op. Cit., p. 65. 3_.

Bertrand Jacquillat, Bruno Solnik, Les Marchés Financiers: Gestion de Portefeuille et des Risques, 3eEdition

(Paris: Dunod, 1997), p. 316. 4

.

: ) : 1998 ( . 331 . 5

.

. 126 .

Market Price

.

1

.

3

.

4

.

:

Swaps

Hedging Risks

.

.

.

2

.

.

3

Libor

London Inter-Banks Offering Rate)

(

.

.

)

(

:

4

=

)

(

×

)

÷

360

(

×

.

.

5

:

.

.

.

6

.

.

Real Investment

1 . ... . 59 . 2

.

Gray, Place, Op. Cit., pp. 5 – 13.

3

.

. 214 . 4

.

. 138 . 5

.Scannavino, Op. Cit., p. 57.

6

.

) : 1998 ( . 23 .

.

Financial

Investment

.

1

.

.

Daniel Bernoulli

Von Neuman & Morgensterne

Markowitz

.

.

Mean - Variance

.

.

.

.

Markowitz

Sharpe

Lintner

.

.

.

.

.

.

.

.

.

1

.

. 65 -69 .

.

I

.

Trade-off

.

.

.

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:

.

1

.

.

Return

:

2

–

:

.

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)

(

.

.

.

3

:

, 1 , 1

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))

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it t it i t i t

R

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t

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1 1 . " " ) 1999 ( . 181 . 2

.

. 22

Jacquillat, Solnik, Op. Cit., pp. 81 - 82.

3 . . 1 ) : 1982 ( . 48 .

1 , , 1

(D

(

) /

)

it t it i t i t

R

P

P

P

:

, 1 ln it it it i t P D R P

.

.

2

.

.

.

3

)

( R

E

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4 1

( )

n i

E R

Pi Ri

n

Pi

i

R i

i

.

2

.

Risk

.

.

5

.

1

.Barreau, Delahay, Op. Cit., p. 46.

2

.

" ... " . 185 . 3 . . 3 ) : 2000 ( . 83 . 4 . . 186 . 5

.

" " ) 2005 ( . 20 .

.

1

.

.

2

.

"

A

"

1

"

B

"

.

.

1

: . 2 ) : 2004 ( . 45 .

.

.

.

Risk Market

.

3

1

.Riad Dahel, "Project Financing and Risk Analysis," Working Paper, Arab Planning Institute (Dec.1997), p. 9.

2

.

. 2 ) : 2004 ( . 45 . 3

.

" " : ) 1989 ( . 113 .

.

1

Unsystematic Risk

Diversifiable Risk

.

.

2

.

3

.

-)

(

:

.

.

)

(

.

4

:

5 2 1

(

( ))

n i i i

V

Pi R i

E R

i i

V

n

.

.

R

:

2 1 1 n i i R i R n 1

.UBS Financial Services Inc., "The Benefits of Diversification," Fundamentals Series (December 2004), p.2.

2 . . 114 . 3

.

" ... " . 187 . 4

.Jacquillat, Solnik, Op. Cit., p. 83.

5

.

. 43 .

.

-)

(

:

.

Coefficient of Variation

.

.

:

1

(

)

i i i

CV

E

R

.

.

-)

(

:

.

.

Beta

Coefficient

.

ˆ

(

_i

)

i

:

2 2

(

,

)

ˆ

(

)

im im i

i

m

i

C o v R i R m

V ar R m

m

m

(

)

V ar Rm

)

,

(

Ri

Rm

Cov

R

i

R

m

.

i

i

m

:

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,

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_{im im}

Cov R i R m

i

m

im

.

Market Model

)

1

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1

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" " . 18 . 2

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: ) : 2011 ( . 136 .

)

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.

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.

1

.

Investment or Financial Portfolio

.

2

:

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EAFE

''

''Europe, Australie, Extreme Orient

450

)

(

.

1

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" : ) 1994 -2004 ( " 29 ) 2006 ( . http://www.ulum.nl/ Home Page: 2

.

. 63 . 3 . ) : 2003 ( . 222 .

.

.

1

:

.

"

"

Harry Markowitz

/

.

.

2

2

.

:

1 1 1

/

n t t t Pt t it it i t

V

V

D

R

V

n P

V

1 t

V

t

V

t

D

.

.

.

n

:

3 1

(

)

n P t it it i

E R

x

R

)

(

R

_P

E

p

i

i

.

n

.

1 . . 227 – 228 . 2

.

" " : ) 1990 ( . 64 . 3

1 t

I

t

I

:

1 1 1

ln

t t t I t t t

I

I

I

R

I

I

2 p

.

.

:

1 2 2 2 2 2 1 1 2 2 2 1 2 1 , 2 1 2 p 1 1 1 2 1 2 2 2 2

0

1

0

,

0

1

0

p

:

1

,

2

0

1 2

1

2

0,

p

.

.

1

.

.

:

2 2 1 1 2 2 1 1 2 2

1:

_{p p} 2 2 2 2 2 1 1 2 2

0 :

p 2 2 1 1 2 2 1 1 2 2

1:

_{p p}

.

.

.

.

n

:

2 1

.Graeme West, "An introduction to Modern Portfolio Theory: Markowitz, CAP-M, APT and Black – Litterman,"

Working Paper, Financial Modelling Agency (June 26, 2006), p. 7.

2

.

Surianor Kamaralzaman, Fazilah Abdul Samad, Mansor Md. Isa, "Financial Integration and International

Diversification Benefits: Cross Country Evidence from a Malaysian Perspective,", p. 17, Available at SSRN: http://ssrn.com/abstract=1639710 or http://dx.doi.org/10.2139/ssrn.1639710

2 1 1 2 2 1 1 1

1

(

, 2,

/

.

)

3

n n p p i j ij i j n n n i i i j ij i j i i i i j i j

V ar R

i

n

:

1 1 11 12 1 2 2 1 2 1 2

,

,

,

,

,

,

n p n n n nn n

X

X

V

V V

V

X

0

i

;

1 100%

i ij

i

j

ij ij i j

.

i

j

i j i j

.

i j

i

j

.

Variances – Covariances Matrix

1

.

1

n

1

2

3

...

n

1

X12 12 X1X2C1,2 X1X3C1,3 ... X1XnC1,n

2

X2X1C2,1 X22 22 X2X3C3,3 ... X2XnC2,n

3

X3X1C3,1 X3X2C3,2 X32 32 ... X3XnC3,n

...

_{... ... ... ...} ...

n

XnX1Cn,1 XnX2Cn,2 XnX3Cn,3 ... Xn2 2n

Source: Forum de la Bourse pour les Nains, "Gestion du Risque: la Variance d'un Portefeuille," Page Web disponible sur le lien : http://www.bnains.org/risque/variance_portefeuille.htm

1

.

Harry M. Markowitz, Portfolio Selection: Efficient Diversification of Investments (New York: Wiley & Sons,

p

)

(

.

j

.

.

1 1 1 2 2 1 n p n n j j j

3

.

.

.

.

:

2

-.

-.

-.

-.

.

:

(

(

))

_i

(

_i

)

i

E U W

p U

1_{. Lawrence Gitman, Michael Joehnk, Investissement et Marchés Financiers, 9}e

Edition (France: Pearson Edition, 2005), p. 188.

2

.

Maroua Mehiri,"Choix de Portefeuilles Internationaux: Diversification, Attitude Face aux Risque et Barrières à

l'Investissement," (Thèse de Doctorat en Sciences de Gestion, Centre de Recherche Thema, U. F. R. Economie te

( (

_i

))

E U W

i

p

i

.

.

Efficient Portfolio

)

V

(

(E)

.

Convex

Envelop

Dominance

.

.

1

)

,

i ij

(

E

V

.

2

.

.

.

Indifference Curves

)

(

Efficient Frontier

)

(

)

M

3

(

.

.

R

_f

M

.

.

1

. Noel Amenc, Véronique Le Sourd, Portfolio Theory and Performance Analysis (England: John Wiley & Sons

2

Source: Harry Markowitz, "Portfolio Selection," The Journal of Finance, Vol. 7,

No. 1. (Mar., 1952). p. 82.

M

C

M

C

.

A

C

A

C

.

.

B

A

M

.

Infeasible Sets

Feasible Sets

B

.

3

:

Efficient Frontier

Source: Noel Amenc, Véronique Le Sourd, Portfolio Theory and Performance Analysis

(England: John Wiley & Sons Ltd, 2003), p. 96.

) : 1998 ( . 165 – 167 .

.

M

.

.

M

A

A

.

3

.

1

.

:

.

.

.

"Efficient Portfolio Selection"

Quadratic Programming Problem

.

.

.

:

1

(

_p

)

MinV ar R

:

0

i

; *

1

1

n i i

; *

E R

(

p

)

E

*

.

:

2

Minimisation

.

:

1 . Ibid., p. 82. 2

2 1 * 1 1 0

int

1

int

p i j ij i i j n i i p i n i i i

Min

objective function

E R

E R

return constra

budget constra

Maximisation

.

:

1 2 * 1 1 0

(

)

int

1

int

n p i i i n n i j ij p i i j n i i i

Max E R

E R

objective function

risk constra

budget constra

Lagrange Multiplier

:

1 2 1 1 1

1

n n n n i j ij i i p i i i j i i

Min L

E R

E R

L

Xi

s

Proportions

.

.

)

(

.

)

(

.

-92378

.

1

.

W. Sharpe

.

.

2

4

.

.

.

.

:

.

Sharpe Ratio

:

.

.

:

(

_p

)

_f p p

R

R

S

p

S

p

Rp

Rf

.

p

p

.

)

Rp - Rf

(

.

p

S

.

3 1 . '' '' . 64 . 2

. Hannes Marling, Sara Emanuelsson, "The Markowitz Portfolio Theory," (November 25, 2012), p. 5. downloaded

at: http://www.math.chalmers.se/~rootzen/finrisk/gr1_HannesMarling_SaraEmanuelsson_MPT.pdf 3.

.

Information Ratio

:

Sharpe

:

1

(

_p

)

_m p ER

R

R

IR

p

IR

R

p

R

m ER

.

.

.

Treynor Index

:

.

ER

.

:

2 p f p p r r T

.

Alpha Coefficient

:

a

R

.

:

3

(

)

p

R

p

E R

p p

(

_p

)

E R

a

CAPM

(

_p

)

_{f am}

(

_{m f}

)

E R

R

R

R

m

R

)

(

.

> 0

Added Value

.

.

1

. Ted A. Ponko, "Adding Value in Fund Evaluation: Alpha, Sharpe Ratio, and Information Ratio," Advisor

Perspectives Newsletter, North Carolina (2007), p. 6. www.advisorperspectives.com

2

. Steve Ambler, "Les Mesures de Performance," Document de Travail, Ecole des Sciences de la Gestion,

Université du Québec à Montréal (Automne 2004), p. 6. 3

< 0

Destroyed Value

.

= 0

.

.

4

seekingalpha.com/article/63911 : Source

.

.

.

.

.

.

)

a a ER

IR

(

.

1

III

.

:

.

.

2 1 . Ibid., p.7. 2 . " " ) : 2011 ( . 84 – 138 .

:

.

.

:

.

.

.

:

.

.

.

:

.

.

.

.

:

.

.

:

"

"

Dont put all your eggs in one basket

.

.

.

1

.

Portfolio Diversification

)

(...

.

1

.

2

.

3

.

4

.

.

5

"

.

".

6 1

. American Century Proprietary Holdings Inc. (USA), “Asset Allocation Portfolios: Why does having a diversified portfolio matter,” Downloaded from: https://www.americancentury.com/funds/what_is_asset_allocation.jsp

2

.

Lawrence Gitman, Michael Joehnk, Investissement et Marchés Financiers, 9e Edition (France: Pearson Edition,

2005), p. 187 3 . : ) 2006 ( . 10 . 4

.

Capital Market Risk Advisors: http://www.cmra.com/html/body_glossary.html(

5

.

" " ) 2007 ( . 6 . 6 . : ) : : 2008 ( . 196 .

.

.

2

.

.

:

2

.

1

.

:

Sectoral Diversification

.

.

.

1

2

.

2

.

Geographic Diversification

:

.

.

Domestic Diversification

)

(

.

Diversification

International

2

.

2

.

3

.

:

.

.

:

.

.

:

.

1

. RBC Gestion Mondiale d'Actifs, ''Évolution de la Diversification," Document de Travail, No. 40703 (08/2012),

Banque Royale de Canada (2012), p. 7. 2_.

Devenir Rentier,"Allocation d’actifs stratégique et tactique," Document de Travail, disponible sur :

''

''

.

Naïve

Diversification

.

.

1

1

i

n

.

.

5

)

8

20

(

.

.

Passive Strategy

Buy and Hold

.

2

.

.

5

:

Source: Richard A. Brealey, Stewart C. Myers, and Alan J. Marcus, Fundamentals of Corporate Finance, Third Edition (USA: McGraw-Hill

Primis, 2001), p. 331. 1 . ) : 1998 ( . 168 – 169 . 2

.

. 75 .

.

.

.

1

.

)

(:

Optimal Diversification

Markowitz

Diversification

.

''

.''

2

.

.

.

.

.

3

)

*

(

.

.

2

1

2

1

( )

n

(*)

Var p

n

n

1 . ) : 2005 ( . 182 – 183 . 2

. Jack Clark Francis, Dongcheol Kim, Modern Portfolio Theory: Foundations, Analysis and New Developments

(USA: John Wiley & Sons, Inc., 2013), p. 38.

3 . . 168 – 169 .

2

:

(r) R = +1 r = 0 r = -1 Var(p) n 2

1

2

1

( )

n

V ar p

n

n

2

1

( )

V ar p

n

2

1

2

1

( )

n

V ar p

n

n

:

Markowitz (1959)

.

.

.

A

B

0,1

)

,5

0

+

(

)

0

.(

3

.

.

.

.

)

(

.

.

1 1