محاولة بناء نموذج لتفسير سلوك أسعار الأسهم المدرجة في البورصة دراســـــة حالة : (بورصة نيويورك، بورصة المغرب، بورصة السعودية، بورصة الجزائر)

Résumé: The study aims to explain the behaviour of share prices on the following stock markets: New York (NYSE), Morocco, Saudi Arabia and Algeria during periods between 1961 and 2014, through the test If a group of stock market factors and macroeconomic factors contribute to the behaviour of stock prices (as measured by the general stock prices index) on these stock exchanges. In order to resolve the problematic of the subject and perform the hypothesis testing we have used analysis correlation, descriptive statistics, simple and multiple regression models. In the end of the study we have selected the best method to explain the share price behavior for each stock exchange after it had gone through a series of standard tests we have examined its quality and free of standards problems using the following statistical programs : Microsoft excel 2007, SPSS24, EVIEWS 8.0 The study concluded to a number of significant results: The model that explains best the behaviour of the share price according to stock market variables is from the New York stock exchange, in which both the trading volume and the number of companies listed on the stock exchange account for %98.63 of the changes in the S&P 500 index. As for the Moroccan stock exchange the best model is based on combining stock market variables and economic variables, according to this model the number of companies listed on stock exchange lagged one period, the market capitalization rate, and the real gross domestic product growth rate lagged one period and the real gross domestic product growth rate lagged two periods account for the %92.35 value changes of the MASI index. The result for the Saudi stock market is somewhat similar to the one from New York stock exchange, as the model that explains the behaviour of stock prices based on stock market variables is the best explanatory model, given that the volume of trading, turnover rate and number of listed companies all account for %99.86 of changes in the value of the Tadawul index As for the stock exchange in Algiers, prices do not respond to any of the factors listed in the study.

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