قياس ونمذجة العائد الفائض في الأسواق المالية دراسة حالة بورصة الولايات المتحدة الأمريكية 2015- 2022

Measuring and modeling excess return in financial markets, a case study of the US Stock Exchange 2015-2022

Abstract

The aim of this work is to establish an instrument of decision that allow to the investor to choose between the investment with risk and the investment without risk which are represented in our application respectively by the financial index American S&P500 and the Treasury bound T-Bill with data covered the period 01/02/2015 to 12/12/2022. A model ARCH describes the instrument of decisionwhere the important conclusion was, in long term, the investment with risk générer a profit greater than the investment without risk by 0.041%.