Is Amman Stock Exchange an Efficient Market?

  •  Sameer Elbarghouthi    
  •  Mohammed Yassin    
  •  Amer Qasim    


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.

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