Efficiency tests and volatility effects: evidence from the Jordanian stock market

This paper examines the efficiency of the Jordanian stock exchange and the relationship between returns and conditional volatility. An AR(1)-GARCH(1,1)-M model is estimated for five daily indices. The empirical results indicate significant departures from the efficient market hypothesis; in only two cases there is a significant relationship between risk and return, and returns tend to exhibit high persistent volatility clustering.

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Year of publication:	2002
Authors:	Omet, Ghassan ; Khasawneh, Mohammad ; Khasawneh, Jamal
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 9.2002, 12, p. 817-821
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009189243