العلاقة بین المخاطر النظامیة وعوائد الأسهم في البورصة دراسة قیاسیة لحالة بورصة الدار البیضاء 2016 -200

Abstract

The objective of this study is to examine the relationship between return and risk and to
determine whether there is a systemic risk impact on the shares of the Casablanca Stock
Exchange, The study relied on the estimation and testing of the capital asset pricing
model based on the historical data of a selected sample of the Casablanca financial
market between 2008 and 2016. Using the statistical program spss. The research
concluded that there is a statistically significant relationship between the fluctuations in
market returns and the fluctuations in the returns of the studied companies, The results
of the statistical test also showed that the capital asset pricing model is not valid for use
on the Casablanca Stock ExchangeThe study recommended that this study be repeated
when the number of companies becomes large, enabling researchers to avoid the impact
of irregular risks for each company by creating a diversified portfolio. It also
recommended testing other asset pricing models based on various factors such as
arbitrage pricing theory), And the multi-factor FAMA model..