MEDAFدراسة العلاقة بين مخاطر المحفظة المالية وأسعار الأسهم وفق نموذج

Abstract

This study aims to analyze the nature of the relationship to systemic risks for a sample of financial portfolios listed in the Saudi financial market, which alone represents more than a third of the market, for the period 2010-2021, and find out whether the beta coefficient provided by the MEDAF model is the only factor that is taken into account when calculating risks to explain the nature of the relationship, in order to answer the problem presented and achieve the desired goals, we calculated the beta coefficient for the shares included in each portfolio, and then calculated the beta coefficient for the financial portfolios, which is used to calculate the return and risk according to the MEDAF model, using simple and multiple linear regression models.The study concluded that there is a direct relationship between the financial portfolios of the study sample and the financial market, which indicates that each of them is moving in a general positive direction, the results also indicate that each of the Yaqeen portfolio and the Murabaha portfolio represent the financial market by less than 15%, which means that the nature of return and risk is governed by factors outside the market and therefore cannot be explained through the MEDAF model, while Mubarak's portfolio is explained by 89%, which means that the nature of the relationship between the risk represented by the beta coefficient and the return represented by the MEDAF model is governed by the factors that control the financial market.