Efficiency Tests and Volatility Effects : Evidence from the Jordanian Stock Market

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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Year of publication:	2015
Authors:	Omet, Ghassan
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Aktienmarkt \| Stock market \| Volatilität \| Volatility \| Jordanien \| Jordan \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Effizienzmarkthypothese \| Efficient market hypothesis \| Schätzung \| Estimation
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Series:	Applied Economics Letters ; Vol. 9, No. 12, 2002
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 26, 2015 erstellt Volltext nicht verfügbar
Classification:	G35 - Payout Policy ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013029507