Fractional Integration in Daily Stock Market Indices at Jordan's Amman Stock Exchange PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Fractional Integration in Daily Stock Market Indices at Jordan's Amman Stock Exchange PDF full book. Access full book title Fractional Integration in Daily Stock Market Indices at Jordan's Amman Stock Exchange by Mohammad Al-Shboul. Download full books in PDF and EPUB format.
Author: Mohammad Al-Shboul
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate the possibility of fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical analysis, using the Log-periodogram (LP) and Local Whittle (LW) based semi-parametric fractional differencing techniques suggest that all sectoral returns at ASE exhibit short memory. However, in the case of volatility measures, we found evidence of long memory. Following the recent literature that argues that structural breaks in a time series could also explain the presence of long memory, we tested the volatility measures for presence of structural breaks. We found that long memory in some volatility measures could be attributed to the presence of structural breaks. Furthermore, using impulse response functions (IRF) based on ARFIMA, we found that shocks to sectoral returns at ASE exhibit short run persistence, whereas shocks to volatility measures display long run persistence.
Author: Mohammad Al-Shboul
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate the possibility of fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical analysis, using the Log-periodogram (LP) and Local Whittle (LW) based semi-parametric fractional differencing techniques suggest that all sectoral returns at ASE exhibit short memory. However, in the case of volatility measures, we found evidence of long memory. Following the recent literature that argues that structural breaks in a time series could also explain the presence of long memory, we tested the volatility measures for presence of structural breaks. We found that long memory in some volatility measures could be attributed to the presence of structural breaks. Furthermore, using impulse response functions (IRF) based on ARFIMA, we found that shocks to sectoral returns at ASE exhibit short run persistence, whereas shocks to volatility measures display long run persistence.
Author: Samer A. M. Al-Rjoub
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
Get Book Here
Book Description
This paper examines the robustness of evidence on the weekend anomaly in stock return data after accounting for the impact of possible measurement errors and sample sizes. Consistent with the previous literature, the sample evidence quite often favors the alternative hypothesis of unequal returns across days of the week. The Start-of-the-week day's returns are consistently insignificantly negative across different time frames. The Average returns for the day right after the beginning of the working week is consistently significantly negative. After controlling for the change of the working week to start on Sunday's results shows that Thursday return (the end of the week) tend to be positive and the highest while Sunday return is a quot;downerquot; in most of the cases (negative and the worst). This result is consistent with previous results documented in the literature. Possible explanations for the high positive significant Thursday return is the possible settlement practices, which imply unusually high closing on Thursdays and consequently lower closing on Sundays. Professional market watchers who are aware of the daily return pattern should adjust the timing of their buying and selling to take advantage of the effect. The new logical implication is quot;Don't Sell Stocks on the Second Day of the Weekquot.
Author: Nada Ibrahim Abu Aljarayesh
Publisher:
ISBN:
Category :
Languages : en
Pages : 8
Get Book Here
Book Description
The three main objectives of the study have accomplished by the analysis; is to examine the relationship between stock return and trading volume in Jordan ASE market. Plus to conclude whether the relationship of trading volume and stock return on Jordan ASE market is reliable with the weak-form of the efficient market hypothesis (EMH). Least, the relationship between stocks return volatility and trading volume in Jordan ASE market has been investigated. The experimental results verify a significant positive relationship between stock return and trading volume. Thus, the first objective is satisfied. Second objective is proven that ASE market is contradicted with the weak-form of EMH. The results of the GARCH (1,1) model illustration that the ASE displays strong volatility persistence and that the past volatility be able to explicate the current.
Author: Paul Doukhan
Publisher: Springer Science & Business Media
ISBN: 3642141048
Category : Mathematics
Languages : en
Pages : 222
Get Book Here
Book Description
This account of recent works on weakly dependent, long memory and multifractal processes introduces new dependence measures for studying complex stochastic systems and includes other topics such as the dependence structure of max-stable processes.
Author: Narjess Boubakri
Publisher: Emerald Group Publishing
ISBN: 1780522436
Category : Business & Economics
Languages : en
Pages : 402
Get Book Here
Book Description
Examines various issues concerning the strategies of institutional investors, the role of institutional investors in corporate governance, their impact on local and international capital markets, as well as the emergence of sovereign and other asset management funds and their interactions with micro and macro economic and market environments.
Author: Mr.Norbert Funke
Publisher: International Monetary Fund
ISBN: 1451860595
Category : Business & Economics
Languages : en
Pages : 30
Get Book Here
Book Description
Over the past decade, South Africa has attracted relatively little foreign direct investment (FDI), but considerable amounts of portfolio inflows. In this context, the objective of the paper is twofold: to identify the determinants of the level and composition of capital flows to emerging markets and to draw policy conclusions for South Africa. We estimate a dynamic panel for up to 81 emerging markets using GMM (Generalized Method of Moments) techniques. The results suggest that further trade and capital control liberalization would increase the share of FDI. Additionally, a reduction in exchange rate volatility would affect the composition of capital flows in favor of FDI.
Author: Xiaonian Xu
Publisher: World Bank Publications
ISBN:
Category : Corporate governance
Languages : en
Pages : 60
Get Book Here
Book Description
Author: Adam Prakash
Publisher: Bright Sparks
ISBN:
Category : Business & Economics
Languages : en
Pages : 620
Get Book Here
Book Description
A timely publication as world leaders deliberate the causes of the latest bouts of food price volatility and search for solutions that address the recent velocity of financial, economic, political, demographic, and climatic change. As a collection compiled from a diverse group of economists, analysts, traders, institutions and policy formulators - comprising multiple methodologies and viewpoints - the book exposes the impact of volatility on global food security, with particular focus on the world's most vulnerable.
Author: World Bank
Publisher: World Bank Publications
ISBN: 1464813566
Category : Business & Economics
Languages : en
Pages : 201
Get Book Here
Book Description
Work is constantly reshaped by technological progress. New ways of production are adopted, markets expand, and societies evolve. But some changes provoke more attention than others, in part due to the vast uncertainty involved in making predictions about the future. The 2019 World Development Report will study how the nature of work is changing as a result of advances in technology today. Technological progress disrupts existing systems. A new social contract is needed to smooth the transition and guard against rising inequality. Significant investments in human capital throughout a person’s lifecycle are vital to this effort. If workers are to stay competitive against machines they need to train or retool existing skills. A social protection system that includes a minimum basic level of protection for workers and citizens can complement new forms of employment. Improved private sector policies to encourage startup activity and competition can help countries compete in the digital age. Governments also need to ensure that firms pay their fair share of taxes, in part to fund this new social contract. The 2019 World Development Report presents an analysis of these issues based upon the available evidence.
Author: Henning Steinfeld
Publisher: Food & Agriculture Org.
ISBN: 9789251055717
Category : Business & Economics
Languages : en
Pages : 418
Get Book Here
Book Description
"The assessment builds on the work of the Livestock, Environment and Development (LEAD) Initiative"--Pref.
