Is Amman Stock Exchange an Efficient Market?

Sameer Elbarghouthi, Mohammed Yassin, Amer Qasim

Abstract


Recent econometric procedures are employed in this paper to investigate the behavioural properties of Amman Stock Exchange (ASE) indices. Box-Jenkins estimation, irrespective of the index examined, produced different models with a high prediction performance, violating the EMH conditions. The unit-root test also confirmed these results since the return series for all indices did not exhibit unit root, and all processes were stationary.


Full Text: PDF DOI: 10.5539/ibr.v5n1p140

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International Business Research  ISSN 1913-9004 (Print), ISSN 1913-9012 (Online)

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