The Jordanian Stock Market

Abstract

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.Stock markets;stock market, statistic, cointegration, stock exchange, bonds, equation, stock prices, statistics, overvaluation, correlation, standard deviation, granger causality, probability, stock market indices, correlations, stock market integration, stock index, descriptive statistics, prediction, stock market price, stock indices, time series, emerging stock valuations, stock returns, causation, equity markets, financial instruments, maximum likelihood estimator, financial market, financial markets, linear time trend, treasury bonds, stock price, linear time, predictability, international financial markets, linear trend, stock price index, perturbations, stock market decline, maximum likelihood estimation, hypothesis testing, international standards, present value, financial resources, stock market index, corporate bonds, stock portfolios, vector autoregression, foreign stock, financial economics, stock market prices, statistical analysis, stock valuation, international finance, sample size, nominal interest rate, statistical significance