Analyzing the behavior of stock prices using a random walk model An Empirical Study in the Iraqi market for securities | ||
| AL-Qadisiyah Journal For Administrative and Economic sciences | ||
| Article 1, Volume 13, Issue 2, June 2012, Pages 169-189 PDF (0 K) | ||
| Author | ||
| Shatha Abdul Hussein al-Zubaidi | ||
| Abstract | ||
| The research aims to test random model walk for the purpose of analyzing the behavior of stock prices of listed companies in the Iraqi market for securities, as well as analyzing the behavior of prices index of the market and sectors constituent, and to identify the level of efficiency of the Iraqi market for securities, and to reach this goal has been tested a series of monthly prices corporate research sample consisting of (24) companies and the general index of the market and sectors constituent in 2009, for the purpose of testing random prices for companies and index has been used analysis autocorrelation autocorrelation of the error random regression model time series selected for analysis, have been using a test events similar (test iterations) rune test to make sure the results of autocorrelation, in addition to the use of correlation analysis to analyze the relationship between returns general index of the market and revenue sectors, consisting of the market, has reached search several conclusions was that the most important stocks in the Iraqi market for securities and the prices index of the market does not follow the premise random walk This means that the Iraqi market for securities is efficient as weak, so recommendations included preparation of similar studies to determine the level of efficiency of the Iraqi market for securities. | ||
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