١٨
ﳏﻤﺪ ﺑﻦ ﺇﺑﺮﺍﻫﻴﻢ ﺍﻟﺴﺤﻴﺒﺎﱐ
–
: ﺍﳌﺴﺘﺨﻠﺺ
ﻣﻘﺪﻣﺔ-١
Market Microstructure
ﻣﺪﺧﻞ ﻓﻘﻬﻲ: ﺍﻟﻐﱭ-٢
ﺗﻌﺮﻳﻒ ﺍﻟﻐﱭ١-٢
ﺃﻧﻮﺍﻉ ﺍﻟﻐﱭ٢-٢
ﺍﳊﻜﻢ ﺍﻟﺘﻜﻠﻴﻔﻲ٣-٢
ﺃﺛﺮ ﺍﻟﻐﱭ ﰲ ﺍﻟﻌﻘﻮﺩ٤-٢
ﺍﻟﻐﱭ ﰲ ﺍﻟﻘﻮﺍﻧﲔ ﺍﳌﺪﻧﻴﺔ٥ -٢
ﺍﻟﻐﱭ ﺍﻟﻴﺴﲑ ﻭﺍﻟﻔﺮﻕ ﺑﲔ ﺳﻮﻣﻲ ﺍﻟﺒﺎﺋﻊ ﻭﺍﳌﺸﺘﺮﻱ-٣
ﻣﻔﺎﻫﻴﻢ ﺃﺳﺎﺳﻴﺔ١-٣
ﺍﻟﻐﱭ ﻭﺍﻟﺜﻤﻦ ﻭﺍﻟﻘﻴﻤﺔ١-١-٣
ﺣﺴﻦ ﺍﻟﺰﺑﻴﺪﻱ ﺍﻟﻌﻼﻳﻠﻲ ﺍﻟﻌﺮﻋﺎﺭﻱ ﺍﶈﺎﺳﻨﺔ
ﺷﻠﻞ
ﺍﳋﻀﲑ
Harris 2003, p. 225
ﺍﻟﻐﱭ ﺍﻟﻴﺴﲑ ﻭﺍﻟﻐﱭ ﺍﻟﻔﺎﺣﺶ٢-١-٣
– –
band, interval
ﻃﺮﻕ ﲢﺪﻳﺪ ﺍﻟﺜﻤﻦ٣-١-٣
ﺍﳌﺴﺎﻭﻣﺔ
ﺍﳌﺰﺍﻳﺪﺓ
–
–
ﺑﻴﻮﻉ ﺍﻷﻣﺎﻧﺔ
–
–
ﻃﺮﻕ ﺃﺧﺮﻯ
double
Market Order
ﺍﳌﻮﺳﻮﻋﺔ ﺍﻟﻔﻘﻬﻴﺔ
auction
call market
ﳕﻮﺫﺝ ﻣﺒﺴﻂ ﻟﻠﻐﱭ ﺍﻟﻴﺴﲑ٢-٣
G = | P – V| = P-V () V-P ()
(1)
VPG
BA
S=A–B
(2)
B A S
B<V<A
(3)
V
ﺍﳌﻮﺳﻮﻋﺔ ﺍﻟﻔﻘﻬﻴﺔ
reservation price
Vi = V + εi
(4)
εi i Vi
Vi ≥ P
Vi ≤ P
Vi > V
Vi ≥ A > V
A > Vi > V
Vi < V
Vi ≤ B < V
B < Vi < V
n
n
n
n
∑V ∑ V ∑ ε
i=1
n
i
=
i =1
n
+
i =1
n
n
i
=V +
∑ε
i =1
n
i
V
E[Vi]=V
E[εi]=0
A ≥ P ≥ B
P<BP>A
PH
BA
A
BA
V
B
PL
A
B
PH
PL
G=P–V=A–V>0
(5)
(6)
G=V -P=V -B >0
V = (A+B)/2
(7)
G = P – V = A – (A+B)/2 = (A-B)/2 = S/2
(8)
G = V - P = (A+B)/2 - B = (A-B)/2 = S/2
(9)
–
–
ﳌﺎﺫﺍ ﻳﻌﺪ ﺍﻟﻐﱭ ﻣﻦ ﺧﺼﺎﺋﺺ ﺍﻟﺴﻮﻕ؟٣-٣
: ﻣﻜﻮﻥ ﺍﻟﺘﻜﺎﻟﻴﻒ ﺍﻹﺟﺮﺍﺋﻴﺔ-١
Harris 2003,
––p 299
Vi ≥ A
Vi ≤ B
ﺍﻟﺴﺤﻴﺒﺎﱐ
A
V
B
C
A=C+V
(10)
B=V–C
(11)
S = A – B = C + V – (V – C) = 2 C
(12)
: ﻣﻜﻮﻥ ﺗﻜﺎﻟﻴﻒ ﺗﺒﺎﻳﻦ ﺍﳌﻌﻠﻮﻣﺎﺕ-٢
Adverse Selection
ﺍﻟﺴﺤﻴﺒﺎﱐ
Free Option
Stoll 2002, p. 13
V
V = E [Vi | Ф]
(13)
Ф
p
NV
V + N = E[Vi | Ψ+],
Ψ+= {Ф, Ω+}
(14)
NV
V – N = E[Vi | Ψ–],
Ψ–= {Ф, Ω–}
(15)
Ψ+N
Ψ–
Ω– Ω+
V = E [Vi] = E [Vi|Ф]Ф
V
Ф
1-p
A = V (1-p) + (V + N) p + C = V + pN + C
(16)
C
B = V (1-p) + (V – N) p – C = V – pN – C
(17)
S=A-B
= V + pN + C– (V – pN – C)
= 2 (pN + C)
(18)
2C
p
N
A
C
pN
V
S
pN
C
B
N
p
Var (Vi) = σ2v = E[Vi – E[Vi]]2
(19)
E[Vi] = (1-p) V + p/2 [V + N] + p/2 [V – N]
= V – p V + p V = V
σ2v
2
(20)
= (1-p) [V–V] + p/2 [V+N–V] + p/2 [V–N–V]2
= p/2 N 2 + p/2 N 2 = p N2
2
(21)
N
N = p-½ σV
S = 2 (p½σV + C)
(22)
–
– σV
ﺃﺳﺒﺎﺏ ﺗﻔﺎﻭﺕ ﺍﻟﻐﱭ ﺍﻟﻴﺴﲑ ﻋﻨﺪ ﺑﻌﺾ ﺍﻟﻔﻘﻬﺎﺀ٤-٣
ﻣﻨﺎﻗﺸﺔ ﺭﺃﻱ ﺍﻹﻣﺎﻡ ﺍﻟﻐﺰﺍﱄ٥-٣
–
––
– –
ﺍﻟﻐﱭ ﺍﻟﻔﺎﺣﺶ-٤
V
ﺗﻘﺪﻳﺮ ﺍﻟﻘﻴﻤﺔ ﻭﺍﻟﻐﱭ ﺍﻟﻔﺎﺣﺶ١-٤
B,AV
ﺃﺳﺒﺎﺏ ﺍﻟﻐﱭ ﺍﻟﻔﺎﺣﺶ٢-٤
:ﺍﻟﺴﺒﺐ ﺍﻷﻭﻝ
A
V =E[Vi|Φ]
B
:ﺍﻟﺴﺒﺐ ﺍﻟﺜﺎﱐ
Φ
ﺍﻟﺰﺭﻗﺎ
Φ
V
V<Vh=E[Vi|Λ]
Φ Λ
Vh
Φ
Vh =E[Vi|Λ]
A
V =E[Vi|Φ]
B
–– :ﺍﻟﺴﺒﺐ ﺍﻟﺜﺎﻟﺚ
Ω
Φ Ψ+ V2
V2 > V1
A1B1
(B2)
A2
+
V2=E[Vi|Ψ ]
B2
A1
V1 =E[Vi|Φ]
B1
:ﺍﻟﺴﺒﺐ ﺍﻟﺮﺍﺑﻊ
Φ Φ–
V2
A2B2
B1
A1
V1=E[Vi|Φ]
B2
A2
V2=E[Vi|Φ–]
B2
:ﺍﻟﺴﺒﺐ ﺍﳋﺎﻣﺲ
ex ex ante
post
Al-Suwailem
1999, pp. 61-102
zero-sum games
PL<BPH>A
PH
A
V =E[Vi|Φ]
B
PL
ﲰﺎﺣﺔ
:ﺍﻟﺴﺒﺐ ﺍﻟﺴﺎﺩﺱ
P>A
P
A
V =E[Vi|Φ]
B
ﺍﻟﺰﺭﻗﺎ
ﺃﺳﺒﺎﺏ ﺍﻟﻐﱭ ﺍﻟﻔﺎﺣﺶ
ﺗﻔﺎﻭﺕ ﻣﻌﻠﻮﻣﺎﺕ ﺍﻟﻄﺮﻓﲔ
ﺍﻟﺘﻐﺮﻳﺮ
…
ﺮﺩﺍ
ﺍﺟﺘﻬﺎﺩ ﺍﻟﻐﺎﺑﻦ ﰲ ﺍﻟﺘﻘﻮﱘ
ﺗﺴﺎﻭﻱ ﺍﻟﻄﺮﻓﲔ ﺑﺎﳉﻬﻞ
ﺗﺴﺎﻭﻱ ﺍﻟﻄﺮﻓﲔ ﺑﺎﻟﻌﻠﻢ
ﺍﳊﺎﺟﺔ
ﺍﻟﺘﻠﺠﺌﺔ
ﺍﺧﺘﻼﻑ ﺍﻟﺮﺃﻱ
ﺍﻟﺘﱪﻉ
…
ﻏﻴﺎﺏ ﺍﳊﺎﻓﺰ ﻟﻠﺘﻮﻗﻲ ﻣﻦ ﺍﻟﻐﱭ
ﺟﻬﻞ ﺍﳌﻐﺒﻮﻥ
ﺍﻟﺮﺑﺎ
ﺗﻘﺼﲑ ﺍﳌﻐﺒﻮﻥ
§
ﺍﻟﺰﺭﻗﺎ
§
ﺑﻴﻮﻉ ﺍﻷﻣﺎﻧﺔ ﻭﺍﻟﻐﱭ-٥
P2 = P1 + mP1 = P1 (1 + m)
(23)
m P2P1
S
V
P1 = V1 + S/2
V2 = ΔV + V1 = (V 2 – V1) + V1
P2 V2 = P1 - V2 + mP1
= S/2 + mP 1 – ΔV
(24)
insider trading
Harris 2003, p. 594
mΔV
mP1 = ΔV m
mP1 ≥ ΔVmP1 < ΔVm
mP1
ﺍﻟﺘﻘﻮﱘ ﻭﺗﻘﺪﻳﺮ ﺣﺪ ﺍﻟﻐﱭ-٦
ﺍﻟﺴﺤﻴﺒﺎﱐ
proxy
ﺍﻟﺘﻘﻮﱘ ﻭﺗﻘﺪﻳﺮ ﺣﺪ ﺍﻟﻐﱭ ﻋﻨﺪ ﺍﻟﻔﻘﻬﺎﺀ١-٦
––
ﺍﻟﺘﻘﻮﱘ ﻭﺗﻘﺪﻳﺮ ﺣﺪ ﺍﻟﻐﱭ ﻋﻨﺪ ﺍﻻﻗﺘﺼﺎﺩﻳﲔ٢-٦
transaction cost
price impact
–
–
event study
abnormal return
liability
Bhagat and Roberta, 2001damage
:ﺍﻟﻨﻤﺎﺫﺝ ﺍﳌﻘﻄﻌﻴﺔ
Harris 2003, p. 311
(Campbell and Mackinlay, 1997, p. 149)
regression
ﳕﺎﺫﺝ ﺍﻟﺴﻼﺳﻞ ﺍﻟﺰﻣﻨﻴﺔ
– –
transitory
price changes
permanent price changes
(Roll
1984, pp. 1127-1139)
serial covariance
Huang and Stoll 1997, pp.
(Glosten
and Harris 1988, pp. 123-142)
995-1034
ﻣﻘﺎﺭﻧﺔ٣-٦
ﻣﻼﺣﻈﺎﺕ ﺧﺘﺎﻣﻴﺔ-٧
•
•
– –
•
•
zero-sum game •
–
–
•
•
•
market
surveillance
ﺍﳌﺮﺍﺟﻊ
ﺍﳌﺮﺍﺟﻊ ﺍﻟﻌﺮﺑﻴﺔ:ﺃﻭﻻﹰ
ﺃﲪﺪ،ﺇﺑﺮﺍﻫﻴﻢ
ﻋﻠﻰ ﳏﻤﺪ ﺍﻟﺒﺠﺎﻭﻱﺍﺑﻦ ﺍﻟﻌﺮﰊ
،ﺍﺑﻦ ﺣﺰﻡ
ﳏﻤﺪ ﺍﻟﻄﺎﻫﺮ ﺍﳌﻴﺴﺎﻭﻱ ﳏﻤﺪ ﺍﻟﻄﺎﻫﺮ،ﺑﻦ ﻋﺎﺷﻮﺭ
ﺍﻷﻭﱃ
، ﻋﺒﺪ ﺍﻟﺮﲪﻦ،ﺍﳉﺰﻳﺮﻱ
ﺃﲪﺪ ﺍﺑﺮﺍﻫﻴﻢ،ﺣﺴﻦ
، ﻧﺰﻳﻪ،ﲪﺎﺩ
ﻓﻬﻤﻲ ﺍﳊﺴﻴﲏ ﻋﻠﻲ،ﺣﻴﺪﺭ
ﳏﻤﺪ ﺑﻦ ﻋﺒﺪ ﺍﻟﻌﺰﻳﺰ،ﺍﳋﻀﲑ
ﺍﻟﻌﺪﺩ ﺍﻟﻌﺎﺷﺮ ﻋﻠﻰ،ﺍﳋﻔﻴﻒ
ﺍﻟﺒﺸﺮﻱ ﺍﻟﺸﻮﺭﲜﻲ ﺃﰊ ﺍﻟﻔﻀﻞ ﺟﻌﻔﺮ ﺑﻦ ﻋﻠﻲ،ﺍﻟﺪﻣﺸﻘﻲ
، ﺯﻫﲑ،ﺍﻟﺰﺑﻴﺪﻯ
ﻠﺪﺍ ﳏﻤﺪ ﺃﻧﺲ،ﺍﻟﺰﺭﻗﺎ
ﺍﻟﻌﺪﺩ ﺍﻟﺜﺎﱐ،ﺍﻷﻭﻝ
ﻣﺼﻄﻔﻰ،ﺍﻟﺰﺭﻗﺎ
، ﳏﻤﺪ ﺑﻦ ﺇﺑﺮﺍﻫﻴﻢ،ﺍﻟﺴﺤﻴﺒﺎﱐ
ﺍﻟﺴﻨﺔ ﺍﻷﻭﱃ،ﺍﻟﻌﺪﺩ ﺍﻟﺮﺍﺑﻊ
ﻋﺒﺪ ﺍﻟﺮﲪﻦ،ﺍﻟﺴﻌﺪﻱ
٣ ﺍﻟﻌﺪﺩ ﺟﻮﺯﻑ ﳔﻠﻪ،ﲰﺎﺣﺔ
ﻧﺰﻳﻪ ﻧﻌﻴﻢ،ﺷﻠﻞ
ﻋﺒﺪ ﺍﻟﻘﺎﺩﺭ،ﺍﻟﻌﺮﻋﺎﺭﻱ
ﺍﻟﻌﺪﺩ ﺍﳋﺎﻣﺲ
٥٩ﺎﺀ ﺍﻟﺪﻳﻦ ﳐﺘﺎﺭ ،ﺍﻟﻌﻼﻳﻠﻲ
ﺃﺑﻮ ﺣﺎﻣﺪ،ﺍﻟﻐﺰﺍﱄ
، ﺳﻠﻴﻢ ﺭﺳﺘﻢ ﺑﺎﺯ،ﺍﻟﻠﺒﻨﺎﱐ
ﳏﻤﺪ ﳛﲕ،ﺍﶈﺎﺳﻨﺔ
ﺍﻟﻌﺪﺩ ﺍﻷﻭﻝﻠﺪ ﺍﳋﺎﻣﺲﺍ
ﺭﻓﻴﻖ ﻳﻮﻧﺲ،ﺍﳌﺼﺮﻱ
ﻭﺯﺍﺭﺓ ﺍﻷﻭﻗﺎﻑ ﻭﺍﻟﺸﺆﻭﻥ ﺍﻹﺳﻼﻣﻴﺔ
ﺍﳌﺮﺍﺟﻊ ﺍﻹﳒﻠﻴﺰﻳﺔ:ﺎﺛﺎﻧﻴ
Al-Suwailem, S. (1999) Towards an Objective Measure of Gharar in Exchange, Islamic
Economic Studies, vol. 7, No. 1 & 2.
Bhagat, S. and Roberta R. (2001) Event Studies and the Law: Part II-Empirical Studies of
Corporate Law, Yale University, Working Paper.
Campbell J., W. Andrew, and A. Mackinlay (1997) The Econometrics of Financial Markets,
Princeton University Press, New Jersey.
Glosten, L. R., and L. E. Harris (1988) Estimating the Components of the Bid-Ask Spread,
Journal of Financial Economics, 21.
Harris, L., (2003) Trading and Exchange: Market Microstructure for Practitioners, New York,
Oxford University Press.
Huang, R., and H. Stoll (1997) The Components of the Bid-ask Spread: A General Approach,
Review of Financial Studies, 10.
Roll, R., (1984) A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient
Market, Journal of Finance, 39.
Stoll, H., (2002) Market Microstructure, Financial Markets Research Center, Vanderbilt
University, Working paper, No. 01-16. Forthcoming in Handbook of the Economics of
Finance.
Minor and Excessive Ghabn: An Economic Analysis
MOHAMMAD AL-SUHAIBANI
Associate Professor
Department of Economics & Administrative Science
Imam Muhammed bin Saud Islamic University
Riyadh, Saudi Arabia
ABSTRACT. This paper utilizes the continuing convergence between price formation
models developed by economists and implied by fiqh scholars, to analyze ghabn (lesion),
one of most important issues in the exchange of goods. The paper establishes the
following main results: (1) Minor ghabn is one of market equilibrium properties that is
determined by traders' quotes. Based on this result, the paper shows that al-Imam alGhazali position regarding minor ghabn dose not necessarily contradict the position
taken by the majority of fiqh scholars. (2) Minor ghabn is a positive function of market
liquidly and asymmetric information as noted by some fiqh scholars. (3) Minor ghabn is
a positive function of excessive ghabn risk and value volatility. (4) Value trader, who
gathers as much information to estimate value, can cause a tolerable excessive ghabn (5)
Amanah sales represent a mechanism to limit excessive ghabn. The paper also relate a
excessive ghabn to its lawful and unlawful causes and compares value and threshold
(separation minor from excessive ghabn) estimation methods used by fiqh scholars and
economists.
The paper concludes by demonstrating that statistical methods developed by
economists can be utilized to detect excessive ghabn, determine its magnitude, and help
courts pass judgment on ghabn cases.
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