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Price limits and stock returns volatility in Jordanian banks

Author

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  • Samer A.M. Al-Rjoub
  • Sawsan Abutabenjeh

Abstract

The 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).

Suggested Citation

  • Samer A.M. Al-Rjoub & Sawsan Abutabenjeh, 2009. "Price limits and stock returns volatility in Jordanian banks," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 144-165.
  • Handle: RePEc:ids:ijmefi:v:2:y:2009:i:2:p:144-165
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    Cited by:

    1. B.T. Katangodage & A.W. Wijeratne, 2016. "Value-weighted price return index for plantation sector of Colombo Stock Exchange of Sri Lanka," International Journal of Agricultural Resources, Governance and Ecology, Inderscience Enterprises Ltd, vol. 12(1), pages 27-52.

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