A sectoral efficiency analysis of the Amman Stock Exchange
Source of Publication
Applied Financial Economics Letters
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.
Rawashdeh, Mufeed and Squalli, Jay, "A sectoral efficiency analysis of the Amman Stock Exchange" (2006). Scopus Indexed Articles. 2433.