The Jordanian Stock Market; Should You Invest in it for Risk Diversification or Performance?
We analyze the performance of the Amman Stock Exchange (ASE) and its integration with other markets. Using cointegration techniques, we find that the ASE and other Arab stock markets are cointegrated, which implies little long-run risk diversification. However, there is no cointegrating relationship between the ASE and other emerging or developed stock markets. Two of the main regional stock markets-Kuwait and Saudi Arabia-Grangercause the Jordanian stock market. The paper finds that there may have been some overvaluation at end-2005, but that the market correction in early 2006 and strong recent earnings growth have reduced overvaluation concerns.
|Date of creation:||01 Aug 2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
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.:
- Gregory, Allan W, 1994.
"Testing for Cointegration in Linear Quadratic Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(3), pages 347-60, July.
- Allan W. Gregory, 1991. "Testing for Cointegration in Linear Quadratic Models," Working Papers 811, Queen's University, Department of Economics.
- Click, Reid W. & Plummer, Michael G., 2005. "Stock market integration in ASEAN after the Asian financial crisis," Journal of Asian Economics, Elsevier, vol. 16(1), pages 5-28, February.
- Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983.
Econometric Society, vol. 51(2), pages 277-304, March.
- Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1979. "Exogeneity," The Warwick Economics Research Paper Series (TWERPS) 162, University of Warwick, Department of Economics.
- Richards, Anthony J., 1995.
"Comovements in national stock market returns: Evidence of predictability, but not cointegration,"
Journal of Monetary Economics,
Elsevier, vol. 36(3), pages 631-654, December.
- Anthony J. Richards, 1996. "Comovements in National Stock Market Returns; Evidence of Predictability But Not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Eun, Cheol S & Resnick, Bruce G, 1984. " Estimating the Correlation Structure of International Share Prices," Journal of Finance, American Finance Association, vol. 39(5), pages 1311-24, December.
- repec:rus:hseeco:278562 is not listed on IDEAS
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Rangvid, Jesper, 2001. "Increasing convergence among European stock markets?: A recursive common stochastic trends analysis," Economics Letters, Elsevier, vol. 71(3), pages 383-389, June.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Topol, Richard, 1991. "Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion," Economic Journal, Royal Economic Society, vol. 101(407), pages 786-800, July.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-56, September.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:06/187. 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: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.