Posted: July 8th, 2015

Portfolio and management investment (2)

Portfolio and management investment (2)

Instructions

Please provide two different answers to each question – different data, different period of the 5 years span, different strategy, different narratives, resolution from different angles…etc. please provide chart for every answer .

Questions

1. Compare and comment the sizes of the GCC stock markets for any period of 60 months (5 years) (from 2000 to 2014). As a reminder, the size of the stock market is measured by the market capitalization which means the price times the volume of transactions of all the stocks of each market for the five years.

2. Based on the stock market indexes of the GCC, and the G7 for any period of 60 months (5 years) (from 2000 to 2014); with which country the Saudi Stock market is more integrated (it has the highest correlation). The integration here means that the Saudi Stock Market index behaves in the same manner as the other indexes for the other countries. Simply said, calculate the correlation of the Saudi index with each of the 6 countries of the GCC and each of the 7 countries of the biggest economies (G7) and observe if the indexes move together in the same direction at the same time. Comment the results.

3. Define and demonstrate (give references) the period where the oil price decreased most. Study the impact on the Saudi stock market, on each of the GCC stock market (the stock market is summarized by its index. The spirit of the question is to compute which index decreased most during the drop of the oil price). You need to take a period of six months after the drop of the price of oil.

4. Study the behavior (the correlation) of the Saudi Stock Index for any period of 60 months (5 years) (from 2000 to 2014) with the growth of the GDP, the inflation, the unemployment rate, and the price of oil. Which of the four (4) previous variables influence most the stock index? Could you confirm your results if you do the same calculation with any two countries of the GCC and any two countries of the G7?

5. Name three companies from the Saudi Stock Market that are very liquid on average during a period of 12 months (a stock is liquid if the volume of transaction is very high). Correlate the liquidity with the ownership structure of the firms (search for the data if missing). We expect the firms who have high ownership to have less volume of transactions because the big shareholders keep the stock for the long term (they are more motivated by the control of the firm than by the dividends). Do you agree with this hypothesis? Could you validate this hypothesis with 3 American firms?