سلوك المستثمر في أسواق المال العربي – محاولة نمذجة

Abstract

Given the significance and sensitivity of behavioral influences within financial systems, this study investigates the econometric impact of investor behavior and psychological biases on asset pricing efficiency across three prominent Arab financial markets (Saudi Arabia, Abu Dhabi, and Qatar) from 2010 to 2024. Methodologically, the research traces the paradigm shift from classical normative models—predicated on absolute rationality—to descriptive behavioral finance frameworks. It diagnoses the interplay between cognitive biases (such as overconfidence and representativeness) and emotional biases (such as loss aversion and herding) in shaping investment decisions and the subsequent formation of financial bubbles. Furthermore, the study analyzes the investment environment alongside the structural and social characteristics of the target markets, highlighting the role of the Saudi Exchange (TASI) as the largest regional market, the Abu Dhabi Securities Exchange’s (ADX) correlation with the energy sector, and the Qatar Stock Exchange’s (QE) sensitivity to institutional stability—features that collectively facilitate the emergence of irrational behaviors. Employing DCC-GARCH and N-ARDL models to monitor dynamic fluctuations, the findings reveal a fundamental divergence; investor sentiment (SENT) emerged as a pivotal and sole determinant with a significant positive impact in the long run for the Qatar Stock Exchange. Conversely, structural variables (such as oil prices and exchange rates) dominated the long-term equilibria for the Saudi and Abu Dhabi markets. Furthermore, the results confirm the existence of asymmetric responses to shocks in the short term across all investigated markets. The study concludes that these markets are subject to complex nonlinear dynamics, rendering inefficiency a structural trait stemming from psychological biases and limits to arbitrage.