أبحاث إقتصادية معاصرة
Volume 6, Numéro 2, Pages 359-374
2023-10-31
Using Survival Analysis To Investigate Stock Risks -algeria Stock Exchange Case Study-
Authors : Dekkiche Djamal . Cherayett Fairouz .
Abstract
The purpose of this study is to investigate the risks of investing in stocks using the estimation of the Cox regression model, which is widely used in the medical, financial, and economic fields, as well as the possibility of benefiting from it by estimating only a portion of its medians, which is useful in determining the risk and its returns. The risks of investing in stocks were identified theoretically in this study with reference to some previous empirical studies on the topic, and these were projected onto the Algiers Stock Exchange by analysing trading activity and market value in the year 2022, as well as estimating the Cox regression model and the Whipple distribution of investment risks in companies listed on the Algerian Stock Exchange. According to the study, the investor faces a type of risk that varies in degree depending on the type of investment and the form of the tool that convinces the investor. The results of the applied study confirmed that there is a type of risk that the investor incurs when investing in stocks and facing the risk of failure or loss.
Keywords
Stock Investment ; Survival Analysis ; Cox Regression ; Whipple Distribution ; Algeria Stock Exchange.
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