Description
This study aims to identify the role of financial engineering in reducing financial risks in
Jordanian commercial banks to determine the expected pros of financial engineering and
obstacles that prevent the reduction of financial risk. For this purpose, this questionnaire was
designed and distributed to the CFOs in the banks. The results of the study showed that the
financial engineering plays a role in reducing financial risks in the Jordanian commercial
banks and transaction costs, despite the presence of obstacles that must be faced to ensure the
effectiveness of the application of financial engineering in the Jordanian commercial banks.
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
Contents lists available at ScienceDirect
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HOSTED BY
Arab Society of
Faculties of Business,
Economic & Political
Sciences
2214-4625/$ – see front matter © 2015 Holy Spirit University of Kaslik. Hosting by Elsevier B.V. All rights reserved.http://dx.doi.org/10.1016/j.aebj.2015.02.001
* Corresponding author. Tel.: +0-000-000-0000 ; fax: +0-000-000-0000.
E-mail address: [email protected]
Peer review under responsibility of Holy Spirit University of Kaslik.
??? ??????? ??????? ?? ???? ?? ??????? ??????? ??????? ???????? ?????? ??
The Role of Financial Engineering in Reducing Financial
Risks in Commercial Jordanian Banks
?????? ????? ???? ?? *???? ????? ???? *
* ????? ????? ? ????????? ??????? ????? ? ?? ???
????? ?????** ? ????????? ??????? ????? ? ?? ???
A R T I C L E I N F O
Article history:
Received 3 July 14
Received in revised form 07 February 15
Accepted 11 February 15
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Keywords:
Financial engineering
Financial risk
Commercial banks
derivatives Financial
Options
????
??? ?????? ?? ??????? ??????? ?? ???? ?? ??????? ??????? ??? ??? ?????? ??? ??????? ???
??? ????????? ??? ?????? ???????? ???????? ???? ???? ????????? ??????? ??????? ?? ?????
??????? ??????? ?? ???? ??? ??????? ???? . ? ?? ??????? ???? ? ?? ? ? ???????? ??????? ??? ?? ?
??????? ????? ?? ???? .?????? ?????? ?? ??????? ??????? ?? ???? ?? ??? ??????? ??????? ??
?????? ?????? ??????? ???????? ????? ?????? ??? ???? ???????? ???? ??? ?????????
?? ??????? ??????? ????? ?????? ????? .??????? ???????? ??????
A B S T R A C T
This study aims to identify the role of financial engineering in reducing financial risks in
Jordanian commercial banks to determine the expected pros of financial engineering and
obstacles that prevent the reduction of financial risk. For this purpose, this questionnaire was
designed and distributed to the CFOs in the banks. The results of the study showed that the
financial engineering plays a role in reducing financial risks in the Jordanian commercial
banks and transaction costs, despite the presence of obstacles that must be faced to ensure the
effectiveness of the application of financial engineering in the Jordanian commercial banks.
© 2015 Holy Spirit University of Kaslik. Hosting by Elsevier B.V. All rights reserved.
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56 49
1 . ?????
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??? ???? ???? ???? ??? ???? ????? ???? ??????? ?????? ???? ???? ?????????? ?????? ???????? ?????? ??? ??? ??? ???? ??? ?????? ???? ??? ? 2008 ???? ????
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? ????? ???? ???? ????????? ???????? ??????? ?????? ????? ???? ??? ?????? ?? ??????? ??? ????? ?????? ????? ????? ?????? ??????? ??????? ???? ?
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?????? .
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????? ????????? . ??????? ???
???? ?????? ?? ??????? ??????? ?? ???? ?? ??????? ??????? ??? ??? ??? ?? ????? ????? ????? ????????? ??????? ???? ?????? ??????? ??????? ???????
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. ?????????? ?????
?????? ?????? ??????? ???? ??????? ??????? ??? ??? ?????? ????? ??? ??? ??????? ?????? ?????? ??? ??????? ??????? ???? ???? ???????? ??????
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2 . ??????? ?????
??????? ???????? ??? ?? ???? ?? ????? ?????? ?? ??????? ????? ????? ) ?????? ??? ??????? ??????? ?? ???? ?? ??????? ? ??????? ???????? ?????? ?? ( ?
? ??????? ??????? ????? ? ?????? . ??????? ?????? ???????? ?????? ????? ?? ?????? ???????? ??????? ??????? ???????? ?????? ???????? ??????? ?? ?? ?????? ???
?????? ????? ??? ???? ???????? ??? ?????? ? ?????? ?????? ??? ???? ?????? ?????? ???????? ??? ???? ???????? ?????? ?????? ?????? ?? ?????? ????? ???? ? ??
? ?????? ???? ?? ??? ?????? ????? ???? ??????? ??? ??????? ??????? ??????? ??? .??????? ?????? ??
????? ???????? ???? ???? ??? ???????? ??? ??? ???????? ???????? ??? ? ???? ? ??????? ????? ???? ??????? ???????? ??? ?????? ? :
???? ??????? ??? ?? ??????? ??????? ?? ???? ?? ??? ?
??? ?? ????? ??????? ??????? ?? ???? ?? ???????? ??????? ??????? ?????? ????? ??????? ???????? ?????? ?? ?
?? ?? ? ????? ??? ???? ??????? ???????? ??????? ?????? ?
????? ????? ??? ?????????? ???? ??????? ?? ???? ?? ??????? ??????? ????? ????? ?? ??????? ???????? ?????? ?? ?? ?
. 2.1 ??????? ?????
?????? ?? ??????? ????? ???? ? ? ??????? ????? ???? ????? ???? ????? ???? ??? ????? ???? ??????? ???? ?? ???????? ?????? ????? ????? ??? ?? ??????
?? ?? ?????????? ????????? ????? ?? ??????? ??????? ????? ??????? ?????? ???????? ????? ? ? .?????? ?????? ??? ??????
. 2.2 ??????? ?????
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? ?? ??????? ??????? ??? ??? ?????? ??????? ???? ??????? ?? ????? ??????? ???????? ?????? ?? ??????? .
??????????? ???? ???? ??????? ?????? ??????? ???????? ????? ?? ??????? ??????? ????? ????? ??????? ???????? ?????? .
50 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
. 2.3 ??????? ??????
Ho1 ????? ??? ??????? ???? ?? ??? ???? ? : 0.05 ??????? ??????? ?? ????? ???????? ??????? ??????? ??? ??????? ???????? ?????? ?? .
Ho2 ????? ??? ??????? ???? ?? ??? ???? ? : 0.05 ??????? ??????? ?? ????? ??????? ??????? ????? ??? ???? ???????? ?????? ?? ??? .
Ho3 ????? ??? ??????? ???? ?? ??? ???? ? : 0.05 ??????? ??????? ?? ????? ??????? ??????? ??????????? ??? ??????? ???????? ?????? ?? .
. 2.4 ??????? ????? ?????
???? ???? ??????? ???????? ?????? ?? ??????? ????? ????? ???? ??????? ??????? ????? ????? ????? ?? ??? 100 ???????? ??????? ??? ??????? ????????
??????? ???????? ??? ?? ?????? ? ? ?? ??????? 80 ?????? ??????? ??????? ?????? ????? ? ????????? ???? ???????? ?? ?????? ????? ?? ??? ???? ?? ??? ?
?????????? ????? ????? ????????? ???? ??????? ???? ???? ????? ???? ???????? ????? ?? ??? ????? ??????? ???? .
?
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??????? ?????? ??????? ???????? ?????? ?? ??????? ??????? ?????? ????????? ??????? ???????? ??????? ????? ????? ??????? ?????? ?????? .
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?? :??????? ????? ????? ??? ????? ?????? ??? .??????? ?????? ??????? ????? ???????? ?????? ????? ?????? ????? ????????? ????????? ??????? ??
????? ???????? ??? ??
?
????? ??????? ??????? ??????? ?? ???????? ??????????? ??? ???? ??????? ??? ??? ???? ?????? ?????? ??????? ????? ?? ?? ???? ??????? ??
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?? ?????? ??????? ????????? ??? ??
?
??? ???? ??? ?????? .????? ?? ?????????? ??? ?? ???? ????? .???????? ??????) 2000 ? ? 5 ( .
:??????? ??????? ??? ??? ????? ???? ?? ??????? ?? ????? ???????? ?????? ???? ?? ??? ?? ??? ? ??????? ??????? ???????? ?????? ????????? ???
????? ?? ??? ????? .????? ?????? ?????? ????? ??? ?? ??? ????? ?????? ???? ????? ????? ???????? ??????? ????? ????? ?? ??? ??? ??????? ?????? ??? ??????
???? ????????? ??? ????? ???? ??????? ???? ???????? ? ???? ????? ??? ???? ??? ?????? ??? ????? ???? ?????? ??? ???? ?? ???????? ?? ) ??? ? 2005 ?
? 33 ( .
:??????? ?????? ?? ?????????? ???? ????? ??? ????? ???? ??? ?? ?????? ?? ???? ???? ????????? ???????? ??? ????? ?????? ??? ???? ?? ?????
? ?? ??? ????? ??? ?? ??? ??? ??????? ?????? ????? ??? ?? ???? .?????? ??? ?? ??????? ??????? ?? ???????? ???? ?? ??? ????? ???? ???????? ???? ??? ?
????? ??????? ????? ??? ?? ????? ???? ?? ???????? ???? ???????? ???????? ??????? ?????? ??? ??? ?? ??????? ????? ?? ??????? ????? ????? ?? ??? .
??? ????? ?????? ???????? ??????? ????? ??? ??? ????? ???????? ? ??? ?????? ????? ????? ?? ??? ?????????? ????? ??? 1930 ?????? ???? ????
??? ??????? ???????? ????? ????? ????? ?? ???? 1931 ??? ??????? ???????? ????? 1938 ??? ????? ??? ??????? ?????? ?? 1951 ????? ????? ?? ??? .
???????? ????? ?? ????? ?? ??? ??? ????? ? ???? ???? ??? ?? ???? ?????? ?????? ?????? ????? ??? ??? ?????? ??? ????? ??? ?? ???? ? ???? ???? ?
??? ??????? ??? ??????? ?????? ????? ?????? ??? ?????? ???? ? ? ) ??? ?????? ??????? ??? 31 ( ???? 1976 ???? ???? ???? ??? ?? ????? ?????? ?? ????? ?
?????? ????? ? ?????? ?????? ???? 1 / 1 / 1978 .
????? ???? ???????? ? ??? ??????? ?????? ????? ?????? ??????? ??????? ????? ???????? ?????? ???????? ?????? ?? ???????? ????? ??? ??? ?????
????? ???????? ????? ??? ??????? ????????? ???? ?????? ??????? ????? ????? ???? ???? ?????? ??????? ??????? ??? ???? ???? ????? ?????? ?????? ?????
????? ????? ???? ????? ? ?? ???? ?? ?? ????? ??? ???? ??????? ?????? ??? Securities and Exchange Commission SEC ??????? ???? ?????? ????? ?
??????? ?????? ????????? Stock Exchange
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56 51
????? ???????? ????? ???? ?????? ) ?? ???????? ????? ?? ??????? ??? 9.7 ??? ????? ????? ( 1978 ) ??? ???? ? 3.0 ??? ?? ????? ????? ( 2013 ?
??? ??????? ?????? ?????? ??? ) ????? ??? ??????? ?? 18.2 ) ) ????? ?? ?????? ????? ????? 286 ??? ????? ?? ????? ????? ( 1978 ??????? ??????? ??? ????? ??? .
) ?? 66 ???? ???? ( 1978 ) ??? 240 ???? ( ??? 2013 ???? ?????? ?????? ?????? ) ( .
??????? ????????
????? ????? ?? ?? ??????? ??????? ??? ??????? ??????? ?? ?? ??????? ???????? ?????? ?? ?? ???? ??? ????? ???? ????????? ??????? ????????? ?? ?
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?
? ?? ??? ???????? ???? ????? ? ????????? ?????? ?????? ??? ???? ???? ???????? ???????? ????? :?????? ?? ???? ?
????? ???? ???? ) 2013 ( : ???? ??? ??? ?????? ??? ??? ??????? ??????? ????? ????? ?? ??????? ???????? ??????? ?? ??????? ????? ???
??? ???????? ?????? ????? ??????? ????? ???? ???? ??? ???????? ?????? ??????? ??? ???? ???? ????????? ????????? ???????? ????? ? ???????? ?????
??????? ??????? ??????? ???? ???????? ? ???????? ?????? ????????? ?????? ??? ???????? ??????? ????? ???? ??????? ???????? ??????? ?? ??????
.???? ??????? ?????????? ???????
??????? ????? ???? ) 2010 ( : ???? ????? ??????? ??? ??? ?????? ??? ?????????? ??????? ?????? ?????? ?? ??????? ?? ?????? ????? ???? ????
??????? ???? .??????? ??? ?? ??????? ??????? ??????? ?? ??????? ?? ??? ????????? ?????? ?? ?????? ?????? ??? ????? ???????? ????????
??? ???????? ?? ??????? ???? ???? ??????? ??????? .??????? ?????? ????? ??????? ??? ?????? ?????? ?????? ???? ??????? ????????? ?? ??????
???? ????????? ????? ???????? ?????? ????? ???? ???????? ????????? ????? ?? ?????? ????? ??? ??? ?? ??????? ????? ??????? ?
?????? ????? ?????? ????? ? ???? .
????? ????? ??????? ) 2009 : ?????? ( Portfolio Hedging With Option Applied Study In Amman Stock Exchange
Strategies
????? ?? ?????? ????? ???? ????? ??????? ?????? ???? ??? ?? ???????? ??????? ???????? ?????????? ???? ?????? ??? ??????? ???? ?? ???? ?????
???? ?????? ???? ??? ?????????? ?? ??????? ????? ??? ??????? ?? ????? ????? ??? ??????? ??????????? ???????? ??????? ??????? ??????? ????? ?? ???? ??
?????? ???????? 43 ?????? ????????? ???????? % 77 ?????? ??? ???? ??? ??????? ???????? ??????? ??? % ?????? ??? ????? ????? ??? ?? ????? sortino,
CAMP, Jensen, Treynor ?????? ????????? ???????? ????? ?? ?????? ????? ???? ???? ??? ????? ??????????? ???? ???? 50 ???????? ?????? %
???? ?????? ???????? 6.6 ??? ?????? ????? ??? ???????? ?? ???? ?? ???? ?? % ???????? ???????? ???????? ??? ???? ?? ???? CAMP ???????? ???? ???
??????????? ????????????? ?????? ??????? ???? ??? ?? ??????? ????????? ??????? ???? ?????? QTM ? ITM .
????? ) ??????? ????? ???? 2009 ? ???? ????? ?? ?????? ???????? ???????? ????? ??????( ?????? ????? ????? ?????? ??????? – ??????? ?????
??????? ??????? ?????? ?? ???????? ??? ????? ????? ???? ????? ??? ????? ??? ?? ??????? ?????? ?????? ???? ??? ?? ????? ??? ?????? .
????? ????? ?????? ???? ???? ???????? ???????? ??? ??????? ??????? ?????? ?????? ???? ??? ????? ??? ???????? ???? ??? .???????? ???? ??
????? ???? ???????????? ??? ?????? ????? ????? ?? ???????? ??? ????? ???????? ?????? ??? ?????? ??? ??????? ??????? ?????? ???????? ???
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?? ?????? ????? ?? ???? ????? .?????????? ??????? ?????
- ??? ??????? ??????? ??????? ??????? ??????? ???????? ??????? ????? ????? ??????? ??????? ???????? ????????? ??????? ??????? ???? ??????? ???? ?????
?? ?? ????? ???? ??????? ???????? ,.??????? ????? ??????? ??????? ??????? ??????)".?????? ?????? ???? ?????? 2007 ? ? 10 (
??????? ???) ??????? ???????? ????? ???? ????????? ?????? ??????? ?????? ?????? ??? 2005 ?? 90 ????? ?? ??? ?? ???? ???? ?????? ?????? ??????? ??????? ?(
?????) ?????? ????? ????? 2008 ? ? 22 .(
?? ??? ?? ??? ??? ??????? ????? ???????? ????? ????? ??????? ?? ????? ????? ??????? ?? ??????? ?? ?????? ????? ????? ??????? ??????? ????? ?? ??????
????????) :????? ?????? ?? ????? ???? ??? ???? ??? ???????? ????? ??? ?????? ???? .??????? 2000 ? ? 9 ( .
????? ????? ?????? .??????? ?????? ??? ??????
.??????? ?????? ???????? ???????? ?????? ????? ??????? ????? ??????
.????? ??????? ??????? ??? ????? ?? ??????? ?? ??????? ????? ??? ?????????? ?????? ????? ???? ??????
??????? ??????? ???? ????
???????? ????? ????? ???? :??????? ????? ??????? ?? ??????? ???? ???????? ????????? ????? ?? ???? ??????? ????? ?? ????????? ????? ???
??????????) 2002 ? ? 32 ( .
? ???? ?? ??????? ?? ???? ?????? ?????? ????? ????? ??? ??? ??? ??? ??????? ????? ?? ??????? ???????? ????? ????? ?????? ??? ???????? ??
.??????? ?? ???????? ????? ??? ??????
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?
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????? ??? ????? :?? ? ??????? ??????? ?? ????? ???? ????? ??????? ?????? ?? ??? ???? ??????? ? ?? ?????? ????? ?????? ??? ????? ???
????? ???? ? ? ????? ??? ???? ????? ?? ??? ? ?????? ?? ??? ???????? ????? ? .????? ????? ????? ? (??????? ????) ????? ????? ?? ??????? ?????
? ?? ????????? ?? ??????? ????? ???? ?? ??????? ??????? ??? ?????? ??? :??? .??????? ?? ???????
) ?????? ??? ???????? ????? ????? Arbitrage .???????? ?????? ??? ??????? ? ?????? ????? ? ???????? ????? ?? ??? ??? ?(
.(??????? ???????? ????) ????????? ????? ????? ????? ?????
?
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.???? ??? ???????? ?? ????? ??? ????? ??? ????????? ????????) 2000 ? ? 5 - 6 (
52 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
????? ????? ? ??? ???????? ? ??????? ?????????? ???? ???? ?? ????????? ?????? ?????? ?????? ??? ?????? ??????? ?"??????? ?? ??????" : ??? ??
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??????? ???????? ??????? ????? ???? ??? ????? ???? ???????? ??? ??? ????? ???? ?????) :??? ?????? ??? ??? 1996 ??? ? 17 (
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?? ???? ??? ??? ?? ????? ???? .??????? ??????? ?? ??? ???????? ??????? ??????? ??? ?? ?????? ????? ?????? ????????? ??????? ???????
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?? :?????? ???? ??????? ??? ??? ??????? ????? ?? ?????? ????? ??? ??????? ????? ????? ???? ??????? ??????? ???? ???? ?????? ?? ?????
??????? ?????? ?????? ?? ??????? ????? ???????? ?????? ??????????? ?????? ??????? - ?? ?????????
??? ??????? ????? ??? ???? ???????? ?? :
? ??? ????? ????? ? ??????? ????? ? ??????????? ???????? ?? ?? ???????? ??????? ?????? ??????? ??? ??? ??? ?? ???? ???? ??? ???????? ????
?????? ???? ????? ??? ??????? ???? ??????? ?????? ???? ??????? ?? ????? ??? ???? ?????? ??? ??? ??? ? ????? ???? ???? ?????? ??? . ??????? ???? ??????? ?
?????? ?? ?????????? ????? ???? ???????? ??????? ?? ?????? ??? ?????? ??? ????? ?? ????? ?? ??? ?? ??????? ??? ??? ??? ??? ??????? ???? ?? ???????
??????? ???? ????? ????? ???????? ????? ?? ????????? :????? ???? ??????? ??? ???? ??? ????? ?????? ??????? ???????
.???....????????? ?????? ??????? ?????????? ??????? ?? ????? ??? ???? ????????? ??????? ??????? ?????? ??????? ??
?????? ??????? ?? ?????? ????? ??????????? ???????? ? ??????? ???????? ???? ?? ???? ??????? ????? ?? ??? ??? ????? ???????? ???? ??
.?????????
????? ?? ??? ??????? ????? ????? ???????? ? ??????? ????? ?????? ????? ??????? ?? ????? ??????????? ???????? ???????? ????? ?????
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?????? ??????? ????????
:??????? :????? ??? ????? ??????? ???? ???? ????? ????? ????? ????? ???????? ?? ??????? ??????? ???????? ????
??????? ???????? ??? ??? Bank of International settlements ??? ?????? ??? ?????? ????? ???? ": ????? ??????? ???????? ?????? ????? ???
?????? ?? ????? ??? ??????? ????? ? ?????????????? ??? ??????? ????? ????? ?? ?????? ???? ??? ????????? ????? ??? ????? ??? ?????
??????? ??????? ??? ???? ?????? ?????? ?? ??? ???????? ".????? ??? ???? ???? ??????? ??
?????? ?? ??????? ??????? ????????? ????? ?????? ???? ?? ???? ????? ???? ?? ????? ?? ??????? ???????? ?? ???? ????? ???" ????????
."????? ?? ????? ????????? ????? ??????? ?????? ?? ?????
- " ????????? ???????? ???? ??? ??????? ??? "??????? ????????? ???? ": ??? ??????? ??? ???? ????? ? ???? ?? ???? ?? ????? ????? ????? ????? ????? ?????
? ???????? ?? ????? ???? ??? ????? ????? ??????? ????? ???? ?????????? ?? ??????? ??????? ??? ?? ???? ???? ????? ?? ????? ??????? ?? ????? ??? ???? ?
? ?????? ?? ???? ??????? ???????? ???????.???????? ??? ????? ???? ???? ???? ???????? ???? ????? ???? ??? ?? ???? ???? ????? ??????? ???????? ????? ????
."???????? ?????? ??????? ??? ?????????
??????? ???????? ????? ???? ??? ?? ??? ??? ?? ????????? ?? ???? ?? ????? ????? ?????? ????? ????????? ???? ????? ????? ????? ???? ?????
?? ?? ????? ?????? ??????? ????? ????? ???? ???? ???? ??????? ???? ?? ????? ????? ???? ???? ?? ??? ???????? ??????? ???????? .??????? ????
:??????? ? ???? ???? :??? ???? ????? ??????? ????? ?????? ????? ??? ?? ????? ?? ???? ?????? ????
? :???????? ??? ?? ?? ???? ?????? ???? ???? ????? ??? ?? ??????? ??? ?? ????? ???? ???? (????? ?? ????? ?? ??????? ?????) ???? ????? ?? ??
?? .????? ???? ??? ?? ???? ????? ??? ?????? ???? ?? ??????? ?? ???? ???? ??????? ??? (??????) ????? ???? ????? ???? ???? ????? ??
??????? .
:????? ?? ????? ??? ?? ???????? ???? ??????
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56 53
) ???? ????? Buyer ?????? ???? ?????
?
????? ???? ??? ????? ????? ???????? ???? ?? ?????? ?? ?? ???? ???
???? ?????? ????? ????? ?? ?
.???????? ????? ??? ?? ????? ?? ???? ???? ???? ?? ???? ?????? ?????? ?? ????????
) ?????? ?? ???? Writer ???? ???? ???? ????? ?? ????? ?? ?????? ??? ??? ????? ????? ??????? ????? ?????? ?? ???? ???? ???? ??
??? ??? ??????? . ??? ?? ???? ?????
) ??????? ??? Exercise of Striking Price ??? ?????? ???? ?????? ????? ??? ???????? ????? ??? ??????? ?? ??????? ?????? ?????? ????? ????
.???? ???????? ?? ????? ????? ??? ??? ???? ?????
) ????? ?? ????? Market Price ? ?????? ??? ??? ( .??????? ??? ?????? ????? ??? ????? ?? ??????? ?? ??????
) ??????? ????? Expiration Date .?????? ??? ??? ?????? ?????? ?? ??? ?????? ?????? ?????? ?? ????? ?? ???? ???? ??????? ??? (
) ?????? ?? ???????? Premium ? ????? ?? ???? ??? ?????? ?????? ??? ( ??????? ??? ?? ??????? ?? ??????? ???? ?? ?????? ????? ??? ?????? ?
.???? ????? ??? ?? :??? ?????? ????? ??? ????? ????? ??????
?
???? ???????? ????? ?????
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?? ???? :??? .???????? ?? ???? ???? ?? ???? ???? ???? ????? ??? ?????? ???? ???? ?????? ???
:??????? ?????? ?? ???? ?? ??????? ?????? ????? ?????? ???? ???????? ??? ??????? ??????
?
????? ??
?
?????? ???? ?? ?? ?????? ???? ??? ???
.??????
:?????????? ?????? ????" ??? ????????? ?? ?????????? ?????? ????? ???? ... ????? ???? ?????? ?? ???? ??? ?? ?? ??? ??? ?? ???? ??? ????? ??? ?????
?????) "????? ????? ??????? ???? ??????? ???? ???? ??????? ??? ??? 2003 ? ? 16 ( ??????? ??? ?? ????? ?????? ?? ????????? ????? ??????
? ?? ?????? .????? ????? ???? ??? ??????? ?? ?????? ?? ??? ???? ?? ????? ??? ??? ???? ??? ??
? ??? :???????? ????? ?? ???? ???? ????? ???? ????? ?? ?????? ?????? ?? ???? ??? ?????? ????? ?????? ?????? ??? ?????????? ???? ?????
????? ????? ???? ????? ???? ????????).??????? ??? ????? ???? 2008 ? ? 86 (
????????? ??????? ???????
.??????? ??? ????? ???? ??????? ????? ????? ????
.???????? ???? ?? ???????? ???????? ?????? ???? ???? ?? ??? ??? ??????? ???????? ??????? ???
?????? ??????? ??????? ???????? ?????? .???????? ?? ??????? ???????? ????????? ?? ??????? ??
.???????? ???? ???????? ??????? ?????? ?????? ????????? ?????????? ?????? ?????? ????
.???????? ???? ????? ????????? ?????? ???????? ??????? ?????? ????? ?????? ?????? ????????? ???? ?????
????? ??? .??? ?????? ????????? ??????? ???????? ????? ?? ?????? ??? ??????
.???????? ????????? ?????? ?????? ??? ?? ???????? ??????? ??????? ?????
?? ??????? ???????? ?? ??????? ???
????? ?????? ?????? ?? ???????? ????? ?? ???? ?????? ???????? ?? ??????? ?? ??? ????????? ?????? ??? ????? ????? ??? ?? ????? ??????
:???????? ????? ???????? ??????? ?? ???????? ????? ????? ????? .????? ?? ?? ????? ???? ????? ?????????
:????????? ???????
??? ??????? ??????? ?????? ?? ????? ?? ??????? ???????? ???? ????? ????? ??? :???? ???? ??
:????? ????? ????? ????? ?????? ??? ?????? ???? ?? ???? ????? ???????? ???? ????? ?? ?????? ????? ????????? ????? ??????? ??? ?????
? ????? ??????? ???? ????? ??? ????? ??? ????? ???? ???? ??????? ??? ?? ??????? ??? ???? ?? ??? ??????? ??? ?????? ?? ?????? ?????? ???
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?? ????? ?? ?????? ????? ????? ?? ??? ????? ??? ????? ??????? ??? ????? ?????? ??? ???? ?????? ???? .?????? ??? ???? ???? ?? ??????? ???
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.?????? ??? ?? ????? ??????? ???? ????? ???? ???? ???? ????? ????
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.????? ???? ?????? ????? ?????? ???? ????? ????? ??? ??? ??????
:?????? ????? ????? ? ???? ????? ?????? ??? ?? ???????? ???????? ??????? ?? ?????? ????? ??? ????? ????? ????? ??? ???? ??? ????????? ???? ?
.???????? ?? ????????? ?? ???? ???? ???? ???
54 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
????? ?? :???? ???? ???? ?? ??????? ???????? ??????? ????
????? ????? ??? ?????????? ??? ?????????? ?????? ??????? ???????? ???? :???????? ??????? ?????? ???? ?? ?????? ????? ?? ????? ???????? ??????? ?
.??????? ?????
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???? ???? ???????? ??????? .????? ????? ????? ???????? ???? ??????? ?? ??????? ???? ???? ????
.??????? ?????? ????? ??? ????? ???????? ????? ??????? ???????? ?????
??????? ?????? ?????? ???????????
?????? ??? ????? ????? ??? ??? ?? ?????? ????? ????? ?? ???? ??? ?????? ????? ?????????? ?????? ??? ?? ???????? ???? ?? ???????? ????? ?? ?
? ??? ?????? ???? ????? ?? ?????? ?? ????? ?? ?????? ??? ?? ???? ?????? ?? ??????? ???? .????????? ????????? ????? ??????? ??? ?? ??? ??????,???????
? ???? ?????? ?????? ?????? ???? ??????? ?????).(??????? ????? ?? ???? 2003 (
???? ?? ???? ?? ????? ?????? ??? ???? ????? ??? ?? ????? ????? ? ????? ?????? ?? ?????? ?? ????? ??????? ???? ??????? ?? ?? ??????? ?
??? ?? ??? ????????? :
?????? ?? ??????? ?????? ?????? ?????? ???????? ????
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5 . ??????? ?????? ?????
? ??????? ???? ????? :??
:?????
???? 1 - ????? ??? ??????? ???? ????? .
????? ?????? ??????? ?????
28.7%
71.2%
71.3 57 ?? ?
28.8 23 ????
100 % 80 ???????
?? ???? 71.3 ???? ??????? ???? ?????? ?? % .
:?????? ??????
???? 2 - ?????? ?????? ??? ??????? ???? ????? .
????? ?????? ??????? ??????
33.8%
55.0%
11.2%
11.3 9 ?????
55.0 44 ?????????
33.8 27 ???? ??????
100 % 80 ???????
?? ???? 55 ????? ??????????? ???? ?????? ?????? ?? % 33.8 ? ???? ?????? % 11.3 ????? ???? %
:??????? ??????
???? 3 - ??????? ?????? ??? ??????? ???? ????? .
????? ?????? ??????? ??????
11.2%
23.7%
45.0%
20.0%
20.0 16 ?? ??? 5 ?????
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23.8 19 11 - 15 ???
11.3 9 ?? ???? 15 ???
100
%
80 ???????
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56 55
?? ???? 45 ??? ?????? ?????? ?????? ?? % 5 - 10 ????? ????? 23.8 ??? ?????? ???? % 11 - 15 ????? ??? 20 ?? ?????? ??? ?????? ?? % 5 ?????
????? 11.3 % ?? ?? ?? ?????? ???? ???? 15 ??? .
??????? ????? ???:?????
.????? ??????? ??? ?????? ?????? ???? ???????? ???????? ??????? ????? ??????? ??
???? 4 - ????????? ?????????? ???????? ?????? .
??? ???????? ???? ??????? ?????
???
0.66751 3.9000 1 .
0.68332 4.0375 2 .
0.73766 3.9875 3 .
0.72740 4.0500 4 .
0.60470 4.1625 5 .
0.68332 4.0375 6 .
0.85647 3.9750 7 .
0.88554 3.7750 8 .
0.71589 4.2375 9 .
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0.69344 4.1125 11 .
0.79396 4.0500 12 .
0.71766 3.9375 13 .
0.77122 3.9875 14 .
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0.5572 4.006 ???????????
) ?????? ???? ????? ?? ???? ???????? ????????? ?? ???? ???? ??????? ??? ??????? ?????? ??????? ?? ???? 3 ????? ?????? ???? .( 4.006 ??? ???
.?????? ?? ?????? ???? ???
?????? ?????? :?????
?? ??? ?????? ??????? (???? ???????) ) ???? ???? ??? ??????? ???? ???? ??? ????? = 94.47 ?????? ?? ???? ????? ?????? ???? ??? (%
???????? 60 %
? .??????? ??????? ?????? :????
?? ??????? ???? ??????? ???????? ???? ?? ??? ?????? ??????? ??????? ?????? ????? ?? ?????? ???? ?????? ???? ??? ?? ?? ????? Central Limit
Theorem ?? ???? ?????? ??? ??? ??????? ??????? ???? ???????? ?? 30 .?????
.???????? ?????? :?????
:????? ???????
Ho1 : ? ????? ??? ??????? ???? ?? ??? ???? 0.05 ? ????? ???????? ??????? ??????? ??? ??????? ??????? ? ??????? ???????? ?????? ?? .
Ha1 : ????? ??? ??????? ???? ?? ??? ???? 0.05 ??????? ??????? ?? ????? ???????? ??????? ??????? ??? .??????? ???????? ?????? ??
???? 5 - ????? ??????? ?????? ????? .
??????? ??????? ?????
T
SIG
T ????? ??? T ????????
??? 0.00 1.9905 16.73
?????? ??????? ?? ??? One Sample T-test ???? ?? ?????? ?????? ?? ??????? ?????? ???????? ?? ???? ) Sig = 0.00 ?? ??? ?? ????? ( 0.05 ????? ) T
=???????? 16.73 ??????? ?????? ???? ????? ???????? ????????? ?????? ?? ???? ( Ho1 ??????? ??????? ????? Ha1 ???? ? ??? ??????? ???? ?? ??? ???? ????
????? 0.05 ??????? ??????? ?? ????? ???????? ??????? ??????? ??? .??????? ???????? ?????? ??
:??????? ???????
Ho2 : ????? ??? ??????? ???? ?? ??? ???? ? 0.05 ?????? ??????? ????? ??? ??????? ??????? ?? ????? ? ??????? ???????? ?????? ?? .
Ha2 : ????? ??? ??????? ???? ?? ??? ???? 0.05 ??????? ??????? ?? ????? ??????? ??????? ????? ??? .??????? ???????? ?????? ??
???? 6 - ??????? ??????? ?????? ????? .
??????? ??????? ?????
T
SIG
T ???????? T ????????
??? 0.00 1.9905 14.80
?????? ??????? ?? ??? One Sample T-test ???? ?? ?????? ?????? ?? ??????? ?????? ???????? ?? ???? ) Sig = 0.00 ?? ??? ?? ????? ( 0.05 ????? ) T
=???????? 14.8 ?? ?????? ???? ????? ???????? ????????? ?????? ?? ???? ( ????? Ho2 ??????? ??????? ????? Ha2 ???? ? ????? ??? ??????? ???? ?? ??? ???? ????
0.05 ??????? ??????? ?? ????? ??????? ??????? ????? ??? .??????? ???????? ?????? ??
:??????? ???????
Ho3 : ????? ??? ??????? ???? ?? ??? ???? ? 0.05 ????? ??????????? ??? ??????? ??????? ?? ????? ??????? ?? .??????? ???????? ?????? ??
56 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
Ha3 : ????? ??? ??????? ???? ?? ??? ???? 0.05 ??????? ??????? ?? ????? ??????? ??????? ??????????? ??? .??????? ???????? ?????? ??
???? 7 - ??????? ??????? ?????? ????? .
??????? ????? ???????
T
SIG
T ???????? T ????????
??? 0.00 1.9905 13.85
?????? ??????? ?? ??? One Sample T-test ???? ?? ?????? ?????? ?? ??????? ?????? ???????? ?? ???? ) Sig = 0.00 ?? ??? ?? ????? ( 0.05 ?????
) T =???????? 13.85 ?? ???????? ????????? ?????? ?? ???? ( ??????? ?????? ???? ??? Ho3 ??????? ??????? ????? Ha3 ???? ? ??? ??????? ???? ?? ??? ???? ????
????? 0.05 ??????? ??????? ?? ????? ??????? ??????? ??????????? ??? .??????? ???????? ?????? ??
6 . ??????? ?????
? ????? ??????? ?? ??? ????? ?????? ???? ??? ???????? ????? ????? ???? ???????? ???????? ??? : ????? ?? ??? ?????????? ?????? ?? ???? ?????? ???
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???? ???????? ???????? ?????? ???? ??? ? ???????? ???????? ???????? ??? ? :
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?? ? ??????? ?? ????? ???? ??????? ??? ??? ????? ?????????? ???????? ????? ??? ???????? .????? ????? ?????????? ???? ???
????? ????? ?????? ?????? ????????? ??? ?? ??????? ?????? ?? ?????? ?????? ?????? .
? ??? ??? ???? ????????? ??????? ???????? ?????? ?????? ????? ??? ?? ??? :??????? ??????? ??? ?????? ??
???? ?? ??????? ??????? ??? ????? .??????? ??????? ??
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? ?? ????? ???? ?????????? ???? ??????? ?????? .???????? ?? ????
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??? ?????? ???????? ??? ?????? ?? ???? ?????? ?? ?? ??? ???? :???
? ????? ??? ??????? ?? ???? ??? ????? ????? ?????? ??????? ????? ????? ??? ??? ?? ??? ??? ????? ?????? ??????? ???????? ????? ????? ???? ?
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?? ?????
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) .??????? ??????? 2012 .( ? ????? ??????? ??????? ?????? .??????? ?????? ??? ????? ????? ???? ???? ???? ???????? ?? ?????? ?? ????? ????? ?
10 ) 5 ( .
????? ?????? ? ? ) . 1996 .( ?????? ??????? ????? ?????? ?????? :??????? ??????? . ??????? ???? ? 17 .
????? ???????? ) .? ? 2003 .( ??????? ????? . ???? ???? .? ??????? ????? ???? ??? ????? ? .
???????? ????? ? ) .? 2001 ( . .????? ???????? ????? ???????? ????????
) .? ???????? 2010 .( ??????? ?????? ?????? ?? ??????? ??????? ??????? ??? . ???????? ??????? ?????? ????? .
???????? ???????? ) .? 2000 .( ??? ??????? ????? ?????? ?????? ?? ????? :???? . ?????? ???? .
????? ? ) . 2013 .( ??????? ?? ??????? ????? ??? ??????? ??????? ??? .???? ????? ?? ??????? ???????? .??????? ?????
) .? ???????? 2009 .( ?????? ????? ????? ?????? ???????? ???? ????? ?? ?????? ???????? ???????? ????? – ??????? ?????? ?? ??????? ?????
??????? . ?? ???? ???? ???? ? 5 .
? ???????? ) . 2008 .( ???????? ???????? ??????????? ??? ???????? ???????? ??????? ??????? ???????? ????? ?????? ????? ? ) 1 ( ????? ????? ? .
) .? ??????? ??? 2005 .( ?????? ????? ?? ?????? ??????? ???????? .? ????????? ????? ??? ??????? .
) .? ???? 2005 .( ???? ??????? ????? .??????? ???????? ??????? ?? ??? ?????? ??? ??????? ????? ??????? ????? ? .
? ?????????? ) . 2002 .( ??????? ????? ?? . ?????? ??????? ??????? ???? .
????? ) .? 2009 - 2010 .( ??????? ???????? ????? . ?????? ????? ??????? ??? . ????? ????? ???? .?
?? ? ???? ) . 2007 .( ??????? ??????? ??????? . ?????? ??????? ?? ????????? ????? ????? ???? ? 2 ) 20 ( ??????? ??????? ??????? ? ? .
? ????? ) . 2003 .( .??? ?????????? ??????? ???????? ??????? ??????? :??????? ????? ?? ?????? ?????
????? ?.? ? ?????? ? ? ) . 2009 .( Portfolio Hedging With Option Strategies Applied Study In Amman Stock Exchange
Jordan Journal of Business Administration ? 5 ) 1 ( .
doc_749341961.pdf
This study aims to identify the role of financial engineering in reducing financial risks in
Jordanian commercial banks to determine the expected pros of financial engineering and
obstacles that prevent the reduction of financial risk. For this purpose, this questionnaire was
designed and distributed to the CFOs in the banks. The results of the study showed that the
financial engineering plays a role in reducing financial risks in the Jordanian commercial
banks and transaction costs, despite the presence of obstacles that must be faced to ensure the
effectiveness of the application of financial engineering in the Jordanian commercial banks.
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
Contents lists available at ScienceDirect
ScienceDirect
j our nal homepage: www. el sevi er. com/ l ocat e/ aebj
HOSTED BY
Arab Society of
Faculties of Business,
Economic & Political
Sciences
2214-4625/$ – see front matter © 2015 Holy Spirit University of Kaslik. Hosting by Elsevier B.V. All rights reserved.http://dx.doi.org/10.1016/j.aebj.2015.02.001
* Corresponding author. Tel.: +0-000-000-0000 ; fax: +0-000-000-0000.
E-mail address: [email protected]
Peer review under responsibility of Holy Spirit University of Kaslik.
??? ??????? ??????? ?? ???? ?? ??????? ??????? ??????? ???????? ?????? ??
The Role of Financial Engineering in Reducing Financial
Risks in Commercial Jordanian Banks
?????? ????? ???? ?? *???? ????? ???? *
* ????? ????? ? ????????? ??????? ????? ? ?? ???
????? ?????** ? ????????? ??????? ????? ? ?? ???
A R T I C L E I N F O
Article history:
Received 3 July 14
Received in revised form 07 February 15
Accepted 11 February 15
?????? ???????
??????? ???????
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?? ???????? ????
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Keywords:
Financial engineering
Financial risk
Commercial banks
derivatives Financial
Options
????
??? ?????? ?? ??????? ??????? ?? ???? ?? ??????? ??????? ??? ??? ?????? ??? ??????? ???
??? ????????? ??? ?????? ???????? ???????? ???? ???? ????????? ??????? ??????? ?? ?????
??????? ??????? ?? ???? ??? ??????? ???? . ? ?? ??????? ???? ? ?? ? ? ???????? ??????? ??? ?? ?
??????? ????? ?? ???? .?????? ?????? ?? ??????? ??????? ?? ???? ?? ??? ??????? ??????? ??
?????? ?????? ??????? ???????? ????? ?????? ??? ???? ???????? ???? ??? ?????????
?? ??????? ??????? ????? ?????? ????? .??????? ???????? ??????
A B S T R A C T
This study aims to identify the role of financial engineering in reducing financial risks in
Jordanian commercial banks to determine the expected pros of financial engineering and
obstacles that prevent the reduction of financial risk. For this purpose, this questionnaire was
designed and distributed to the CFOs in the banks. The results of the study showed that the
financial engineering plays a role in reducing financial risks in the Jordanian commercial
banks and transaction costs, despite the presence of obstacles that must be faced to ensure the
effectiveness of the application of financial engineering in the Jordanian commercial banks.
© 2015 Holy Spirit University of Kaslik. Hosting by Elsevier B.V. All rights reserved.
ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56 49
1 . ?????
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50 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
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ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56 51
????? ???????? ????? ???? ?????? ) ?? ???????? ????? ?? ??????? ??? 9.7 ??? ????? ????? ( 1978 ) ??? ???? ? 3.0 ??? ?? ????? ????? ( 2013 ?
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CAMP, Jensen, Treynor ?????? ????????? ???????? ????? ?? ?????? ????? ???? ???? ??? ????? ??????????? ???? ???? 50 ???????? ?????? %
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?? ??? ?? ??? ??? ??????? ????? ???????? ????? ????? ??????? ?? ????? ????? ??????? ?? ??????? ?? ?????? ????? ????? ??????? ??????? ????? ?? ??????
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52 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
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ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56 53
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) ????? ?? ????? Market Price ? ?????? ??? ??? ( .??????? ??? ?????? ????? ??? ????? ?? ??????? ?? ??????
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) ?????? ?? ???????? Premium ? ????? ?? ???? ??? ?????? ?????? ??? ( ??????? ??? ?? ??????? ?? ??????? ???? ?? ?????? ????? ??? ?????? ?
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? ?? ?????? .????? ????? ???? ??? ??????? ?? ?????? ?? ??? ???? ?? ????? ??? ??? ???? ??? ??
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????? ????? ???? ????? ???? ????????).??????? ??? ????? ???? 2008 ? ? 86 (
????????? ??????? ???????
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54 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
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ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56 55
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56 ARAB ECONOMICS AND BUSINESS JOURNAL 10 (2015) 48–56
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