The Relationship Between Stock Return Volatility and Trading Volume in Amman Stock Exchange, Jordan PDF Download
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Author: Nada Ibrahim Abu Aljarayesh
Publisher:
ISBN:
Category :
Languages : en
Pages : 8
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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: Nada Ibrahim Abu Aljarayesh
Publisher:
ISBN:
Category :
Languages : en
Pages : 8
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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: Samer A. M. Al-Rjoub
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Book Description
We estimate GARCH-M model to measure the impact of the financial crisis on stock market returns and volatility by introducing dummy variables in the mean and variance equations to measure the behavior of stock return and volatility during the crises. We examine the impact of these crises, namely, the Mexico's Tequila crises of 1994, the Asian /Russian crises in 1997-1998, September eleventh attack in the United States in 2001, Iraq war in 2004, financial crisis in November 2005 and the global financial crisis of 2008-2009, on the behavior of stock returns during these crises. Not surprisingly stock returns are reliably negative during financial crisis. The dummy variable is negative when we account for the local stock market crash during 2005 and the global financial crises of 2008. It's surprisingly that stock returns are reliably positive during the Iraq war in 2004. As a result, the drastic changes in volatility may initiate the negative and positive shifts based on the impact of news on the Jordanian Market Other crisis shows no impact on Amman stock exchange returns. Volatility behavior during crises behaves in different manners. Imported Crises cause volatility to decrease or increase based on the general public expectations. If expectations are pessimistic, the effect will be resembled by dampen demand for investment causing volatility to decrease and the size trading to decrease. If expectations are optimistic volatility will increase derived by the increased size of investment. The local stock market crash during 2005 and the global financial crises of 2008 show no impact on volatility with insignificant coefficients. Finally, the positive relationship between risk and return is preserved.
Author: Aktham Issa Maghyereh
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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This paper investigates the relationship between the expected return and risk in the Jordanian capital market over the period 1994-2000. Using a GARCH-M model, the paper finds evidence of a significant positive relationship between the expected return and risk in this market.
Author: Mohammad Al-Shboul
Publisher:
ISBN:
Category :
Languages : en
Pages :
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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: Nidal Rashid Sabri
Publisher:
ISBN:
Category :
Languages : en
Pages : 11
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This study intends to examine the price-volume movements in the Arab stock markets, in order to determine the impact of changes in trade volume on the volatility of stock prices as expressed by the unified MAF stock price index. The research covers a sample of eight out of the fifteen Arab stock markets included in the Arab Monetary Fund database, using monthly data from 1994 to 2006. The study found that there is an increasing in both trading volume and stock price volatility, which may be considered as a recent phenomenon in the majority of the Arab stock markets. The study also found that the volume-stock price movements are significantly integrated for all selected markets, while the highest correlation coefficient between volume and stock price movement was found in Saudi stock market, Amman stock market, Muscat stock market and Kuwait stock market respectively. Finally, the correlation between volume and prices movement is higher in the stock markets of the oil Arab states compared to the non-oil Arab states.
Author: Sari Malahim
Publisher:
ISBN:
Category :
Languages : en
Pages : 8
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This study aims to test the effect of company size on risk adjusted return in Amman Stock Exchange (ASE) and investigating if there are anomalies in that Bourse. According to efficient market hypothesis, risk adjusted return for small-capitalization (CAPS) must quietly equal risk adjusted return for large-capitalization(CAPS); otherwise, this will lead to breaking the efficient market hypothesis and existing of anomalies in Amman Stock Exchange. On this paper an attempt to investigate if there is a statistically difference between small-caps and large-caps risk adjusted return. And also an attempt to investigate the existing of anomalies in Amman Stock Exchange. The size of company was determined on the basis of the company total assets; to implement that criteria, the median for all companies was estimated, then companies less than median were considered as small- caps and companies more than median were considered as large- caps. The hypothesis of this study was examined by using parametric tests as one-sample test and paired sample test. It was found that there was a statically significant relationship between risk adjusted return between large-caps and small-caps and also found that the risk adjusted return for small caps outperform the risk adjusted return for large- caps. This study can be a source of help to technical analysts to benefit from that anomaly and to improve their investment strategies regarding that information. And it is also a source of help to academic people and researcher to perceive that inefficiency case.
Author: Bramantyo Djohanputro
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Robert Maria Margaretha Jozef Bauer
Publisher:
ISBN: 9789090107905
Category :
Languages : en
Pages : 191
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Author: Samer A. M. Al-Rjoub
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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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: Mohammad AlOmari
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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