Estimating investment returns and risks for a sample of banks listed in the Iraq Stock Exchange Using the Garch model - an applied study
DOI:
https://doi.org/10.36322/jksc.175(D).18685Keywords:
Return, Risk, Garch model, Investment, Iraq Stock ExchangeAbstract
The study aims to estimate the relationship between return and risk in the Iraqi stock market during the period 2017-2021 for the purpose of studying market sensitivity (systematic risks and irregular risks). As well as studying the relationship between return and risk using the study model, and for the purpose of achieving the objectives of the study, we developed the GARCH model. Where monthly data was used on the closing prices and the previous closing price of stock prices for the Iraq Stock Exchange covering the period (2017-2021). The study sample consisted of a monthly data set for a group of banks listed in the Iraq Stock Exchange; the study reached a set of conclusions, the most important of which is that there is a direct relationship between return and risk in the Saudi stock market, Also, the best model for the Iraqi market is the GARCH_M -MEDAF model. When making any investment decision, the risk factor must be taken into account, and the research concluded with a set of recommendations, the most important of which is the need to work on permanent updating of the information published in the financial market, and disseminate it to everyone so that it can be used effectively and at the lowest cost.
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1. Archer,H.Stephen and choate . G Marc and Racette George,"Financial management" 2 and ,ed., N.Y. john Wiled and sons,1983.
2. Berk, Jonathan & DeMarzo, Peter & Harford, Jarrad, "Fundamentals of Corporate Finance", 2nd ed, Prentice Hall, USA, 2012.
3. Brigham Eugene F . & Ehrhardt, Michael C . " Financial Management Theory and Practice" . 13th ed. South-Western. 2011.
4. Gitman , Lawrence J. & Zutter, Chad J. " Principles of Managerial Finance" . 13th ed , Prentice Hall . 2012
5. Gitmen ,L ,Lawnence, "Principles of Managerial al Finance", 9th ed,USA, 2000.
6. Hall, J.C". Risk Management and Financial Institutions". 3th ed. Hoboken: John Wiley & Sons, 2012 .
7. Hamzaee, Reza G "Modern Banking And Strategic Portfolio Management." Journal of Business & Economics Research (JBER) 4.11 , 2011. DOI: https://doi.org/10.19030/jber.v4i11.2718
8. Haneef, Shahbaz& Riaz, Tabassum & Ramzan, Muhammad & Runa , Mansoor & Ishaq , Hafiz," Impact of Risk Management on Non-Performing Loans and Profitability of Banking Sector of Pakistan", International Journal of Business and Social Science, Vol. 3 No. 7, 2012.
9. Hitchner James R. " Financial Valuation Applications and Models" John Wiley & Sons, Inc New Jersey 2003.
10. Howells Peter & Bain Keith " Financial market and institution" 5th ed, published , prentice hall , 2007.
11. Jordan , d.bradford & miller , w Thomas , "Fundamentals of investments" , kentacky and saint louis university , 5th ed , 2009.
12. Lukic, Aleksandar," Types Of Risks And Risk Management In The Contemporary Banking Operations", International Journal of Advanced Research, Vol 3, No 3, 2015.
13. Welch , Ivo , " Corporate finance An Introduction" , 1st ed , Prentice Hall , 2009.
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