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A sectoral efficiency analysis of the Amman Stock Exchange

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  • Mufeed Rawashdeh
  • Jay Squalli

Abstract

Market efficiency is tested for across the four sectors of the Amman Stock Exchange (ASE). Using daily sectoral indexes between 1992 and 2004 and a variance ratio and runs tests, it is found that the random walk and weak form efficiency hypotheses are rejected for all sectors. Furthermore, it is found that returns fit a mean-reverting process which may suggest abnormally high volatility, overinflated stock prices, and frequent market corrections from a bubble effect. This also indicates that investments in all sectors of the ASE may be very risky in the short run.

Suggested Citation

  • Mufeed Rawashdeh & Jay Squalli, 2006. "A sectoral efficiency analysis of the Amman Stock Exchange," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 2(6), pages 407-411.
    • Handle: RePEc:taf:raflxx:v:2:y:2006:i:6:p:407-411
    DOI: 10.1080/17446540600706841
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