Open AccessRisk and Return Analysis for Companies Registered in the Iraq Stock Exchange Based on the Sortino and Sharpe Methods
Author(s) -
Hayder Jasim Obaid,
Mohanad Hameed Yasir,
Ali Jasim Mohammed Hendi
Publication year - 2021
Publication title -
estudios de economía aplicada
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.123
H-Index - 6
eISSN - 1697-5731
pISSN - 1133-3197
DOI - 10.25115/eea.v39i10.5568
Subject(s) - modern portfolio theory , stock exchange , portfolio , risk–return spectrum , financial economics , post modern portfolio theory , actuarial science , sharpe ratio , stock (firearms) , economics , econometrics , portfolio optimization , business , replicating portfolio , finance , engineering , mechanical engineering
The research aims to measure the return and risk in the Iraq Stock Exchange according to the modern portfolio theory (MPT) and post-modern portfolio theory (PMPT) and identify its difference. The study was recognized with several questions, the most important of which: "Is there a difference in measuring the return and risk between the modern portfolio theory and the post-modern portfolio theory?" The companies listed on the Iraq Stock Exchange were tested to answer this question. Seventy-two companies registered in the Iraq Stock Exchange from 2006 to 2019 has selected for this research sample. The accreditation was done on many financial and statistical indicators to analyze and interpret the results using Excel. According to the post-modern portfolio theory, the study found an apparent discrepancy in the values of the return and risk indicators compared to the modern portfolio theory due to the different philosophies and calculation methods in the portfolio's construction. This study can facilitate further studies and the investors looking forward to investing in the Iraqi stock exchange.