Price limits and stock returns volatility in Jordanian banks
AbstractThe main objective of the study is to show whether price limits for commercial banks in the ASE have the positive effect on the market return volatility for the period 1999-2005. GARCH and EGARCH models are used to generate variance series from bank returns. Empirical results show that there is a significant positive relationship between total number of limit hits and bank returns volatility when it is generated from GARCH model. The price limits policy in ASE does not have their positive effect in reducing bank return volatility, a result consistent with Chen (1993) and Phylaktis et al. (1999).
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Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Monetary Economics and Finance.
Volume (Year): 2 (2009)
Issue (Month): 2 ()
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Web page: http://www.inderscience.com/browse/index.php?journalID=218
price limits; volatility; GARCH models; EGARCH models; stock returns; Jordan; commercial banks; bank returns.;
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