The Jordanian Stock Market--Should You Invest in it for Risk Diversification or Performance?

Martin H. Petri () and Saadi-Sedik, Tahsin
Authors registered in the RePEc Author Service: Tahsin Saadi Sedik ()

No 06/187, IMF Working Papers from International Monetary Fund

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.

Keywords: Jordan; stock market integration; cointegration; common trends; Stock markets; Jordan; Investment (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2006-08-14
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