Title

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.

ISSN

1744-6546

Publisher

Informa UK Limited

Volume

2

Issue

6

First Page

407

Last Page

411

Disciplines

Business

Scopus ID

33847259880

Indexed in Scopus

yes

Open Access

no

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