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Efficiency tests and volatility effects: evidence from the Jordanian stock market

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  • Ghassan Omet
  • Mohammad Khasawneh
  • Jamal Khasawneh

Abstract

This paper examines the efficiency of the Jordanian stock exchange and the relationship between returns and conditional volatility. An AR(1)-GARCH(1,1)-M model is estimated for five daily indices. The empirical results indicate significant departures from the efficient market hypothesis; in only two cases there is a significant relationship between risk and return, and returns tend to exhibit high persistent volatility clustering.

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  • Ghassan Omet & Mohammad Khasawneh & Jamal Khasawneh, 2002. "Efficiency tests and volatility effects: evidence from the Jordanian stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 9(12), pages 817-821.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:12:p:817-821
    DOI: 10.1080/13504850210161931
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    Cited by:

    1. Limam Imed, 2003. "Is Long Memory a Property of Thin Stock Markets? International Evidence Using Arab Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 1(3), pages 56-71, December.
    2. Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018. "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 33-66, January.
    3. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
    4. Ali Matar, 2016. "Does Portfolio’s Beta in Financial Market Affected by Diversification? Evidence from Amman Stock Exchange," International Journal of Business and Management, Canadian Center of Science and Education, vol. 11(11), pages 101-101, October.
    5. Rafaqet Ali & Muhammad Afzal, 2012. "Impact of global financial crisis on stock markets: Evidence from Pakistan and India," E3 Journal of Business Management and Economics., E3 Journals, vol. 3(7), pages 275-282.
    6. Hajilee, Massomeh & Stringer, Donna Y. & Hayes, Linda A., 2021. "On the link between the shadow economy and stock market development: An asymmetry analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 303-316.

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