Study Of The Algerian Stock Exchange Volatility According To The Capital Asset Pricing Model Over The Period 2020 - 2024

Résumé: This study uses the beta coefficient derived from the capital asset pricing model, which aims to improve the trade-off between return and systematic risk, as it is possible to know the returns of stocks compared to the systematic risks of the stock, To discern the shares movements of the companies listed on the Algerian Stock Exchange over the period 2020-2024 compared to the systematic risks, the beta coefficient was calculated using the historical returns method for the five companies’ shares. It was found that the value of beta for all companies is less than one, which indicates that the volatility of the returns of all securities of the five companies (Saidal, Biopharm, AOM Invest, El Aurassi Hotel, and Alliance Assurances) is less than the market volatility. Thus, market risks are greater than these companies’ shares risks. Moreover, we also found that the volatility of returns of Biopharm and Alliance Assurances is in the same trend as the market volatility, while the volatility of returns of the other companies (Saidal, AOM Invest, and El Aurassi Hotel) is opposite to the market trend.

Publié dans la revue: مجلة التمويل والاستثمار والتنمية المستدامة