دور معنويات المستثمريـن فـي تسعيـر الأصول الرأسمالية فـي الأسواق الناشئة فـي فتـرات الأزمات المالية: دراسة تطبيقية علـى السوق المصرية باستخدام أسلوب الانحدار الفازي Investor Sentiment Role on Asset Pricing in Emerging Markets During Stock Markets Crisis: Application to Egyptian Market Using Fuzzy Regression | ||||
| المجلة العربية للإدارة | ||||
| Article 9, Volume 39, Issue 4, December 2019, Page 189-208 PDF (462.36 K) | ||||
| Document Type: بحوث باللغة العربیة | ||||
| DOI: 10.21608/aja.2019.66924 | ||||
 View on SCiNiTO | ||||
| Authors | ||||
| نسمة حشمت1; هشام عبد الله2 | ||||
| 1قسم إدارة الأعمال،جامعة أسيوط، جمهورية مصر العربية | ||||
| 2قسم الإحصاء والرياضة والتأميـن، جامعة أسيوط، جمهورية مصر العربية | ||||
| Abstract | ||||
| تهدف هذه الدراسة إلـى التعرف علـى دور معنويات المستثمريـن فـي تسعيـر الأصول المالية فـي الأسواق الناشئة، وتحليل هذا الدور خلال الأزمات المالية، وکيف يمکن لهذا المتغيـر أن يقوم بتحسيـن وتعديل وتطويـر النماذج المعروفة فـي تسعيـر الأصول الرأسمالية، مثل نموذج «فاما» و»فرنش» Fama-French Model ، باستخدام نماذج تحليل حديثة؛ حيث استخدمت الدراسة تحليل الانحدار الفازي. وللوقوف علـى هذا الدور فـي سوق المال المصري تمثلت فتـرة الدراسة فـي الفتـرة من ينايـر 2007 وحتـى ديسمبـر 2015 لتشمل أزمتـي 2008 و2011، وتم تقسيم البيانات إلـى خمس فتـرات، الأولـى قبل أزمة عام 2008 ، والثانية خلال الأزمة المالية 2008، والثالثة من 2009 إلـى 2010، والرابعة أثناء الاضطرابات المالية لسنة 2011، والخامسة بعد 2011، وحتـى نهاية 2015، وتستخدم الدراسة المنهجيات المقتـرحة فـي أدبيات المالية السلوکية لبناء مؤشر معنويات المستثمر لفتـرة الدراسة. وقد توصلت الدراسة إلـى أهمية معنويات المستثمريـن فـي تسعيـر الأصول المالية فـي کل فتـرات الدراسة حتـى فـي خلال الأزمات المالية. The purpose of this study is to investigate the investors sentiment in the emerging markets and analyze its role could improve the well-known models like Fama-French Model by using Fuzzy Regression. The Egyptian stock has witnessed two crises, the first is world financial crisis in 2008 and the second is in 2011 as a result of the Egyptian revolution. The study will analyze the role of investor’s sentiment on the asset pricing during the stock crisis. To capture the effect of the stock crisis the data sample include one year before 2008 crisis, during 2008 crisis, from 2009 till 2010, during 2011 crisis and three years after the 2011 crisis. The study employs methodologies proposed in literatures to construct investor sentiment index for the period. The results conduct the importance role of investor sentiment on asset pricing. | ||||
| Keywords | ||||
| نموذج «فاما -فرنش»; معنويات المستثمريـن; المالية السلوکية; تسعيـر الأصول الرأسمالية; الانحدار الفازي; Fama-French Model؛ Investor Sentiment؛ Behavioral Finance؛ Asset Pricing؛ Fuzzy Regression | ||||
| References | ||||
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