A sectoral efficiency analysis of the Amman Stock Exchange
Document Type
Article
Source of Publication
Applied Financial Economics Letters
Publication Date
11-1-2006
Abstract
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.
DOI Link
ISSN
Publisher
Informa UK Limited
Volume
2
Issue
6
First Page
407
Last Page
411
Disciplines
Business
Scopus ID
Recommended Citation
Rawashdeh, Mufeed and Squalli, Jay, "A sectoral efficiency analysis of the Amman Stock Exchange" (2006). All Works. 261.
https://zuscholars.zu.ac.ae/works/261
Indexed in Scopus
yes
Open Access
no