Modeling Market Volatility in Emerging Markets: The case of Daily Data in Amman Stock Exchange 1992-2004
This paper attempts to investigate the volatility of the Jordanian emerging stock market using daily observations from Amman Stock Exchange Composite Index (ASE) for the period from January 1, 1992 through December 31, 2004. Preliminary analysis of the data shows significant departure from normality. Moreover, returns and residuals show a significant level of serial correlation which is related to the conditional heteroskedasticity due to the time varying volatility. These results suggest that ARCH and GARCH models can provide good approximation for capturing the characteristics of ASE. The empirical analysis supports the hypothesis of symmetric volatility; hence, both good and bad news of the same magnitude have the same impact on the volatility level. Moreover, the volatility persists in the market for a long period of time, which makes ASE market inefficient; therefore, returns can be easily predicted and forecasted.
Volume (Year): 2 (2005)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.usc.es/economet/eaa.htm|
|Order Information:|| Web: http://www.usc.es/economet/info.htm Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
- Kate Phylaktis & Manolis Kavussanos & Gikas Manalis, 1999. "Price Limits and Stock Market Volatility in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 5(1), pages 69-84.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
- Craig A. Depken II, 2001. "Good News, Bad News And Garch Effects In Stock Return Data," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 313-327, November.
When requesting a correction, please mention this item's handle: RePEc:eaa:ijaeqs:v:2:y2005:i:4_8. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.