Examining Relationship between Palestine Stock Exchange and Amman Stock Exchange-Cointegration Approach

Abdul Razak Abdul Hadi, Shadi Ali Hamad, Mohamed Hisham Yahya, Tahir Iqbal

Abstract


This paper aims at examining the probable equilibrium and dynamic relations between Palestine Stock
Exchange (PEX) and Amman Stock Exchange (ASE). Within the framework of international trade theories, this
study employs Engle-Granger Cointegration procedure (1987) as an estimation model involving monthly time
series data from 1997 through 2011. The empirical results show that there is a significant equilibrium
relationship between PEX and ASE, but fail to establish empirical evidence on dynamic relations between the
two stock markets using Granger Causality tests. However, analysis of dynamic interactions during the
post-sample period via Impulse-Response Functions and Variance Decomposition suggest that changes in ASE
index do influence the performance of PEX.


Full Text: PDF DOI: 10.5539/ijbm.v8n7p133

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International Journal of Business and Management   ISSN 1833-3850 (Print)   ISSN 1833-8119 (Online)

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