Noise trading in small markets: Evidence from Amman Stock Exchange (ASE)

Ohoud Abdel Hafiez Khasawneh

Research in International Business and Finance, 2017, vol. 42, issue C, 422-428

Abstract: This study aims to analyze the behavior of traders in Amman Stock Exchange (ASE):-firstly at the market level by analyzing the market return volatility, defining the time frame of this volatility, and classifying it as transitory volatility or a permanent volatility, Daily closing of Amman free float market index will be used to indicate the market return during the period from 1/1/1992 to 31/12/2015 where 5899 observations were obtained. Secondly at the firms level by selecting a sample of trading companies and interpreting the results through analyzing some important features of the companies, such as share price and ownership structure, Daily closing of share price of the selected companies will be used to indicate the return during the period from 1/1/2015 to 31/12/2015 where 240 observations were obtained for each company during this period.

Keywords: Noise trading; Permanent component; Transitory component; Behavior finance; ASE (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:42:y:2017:i:c:p:422-428

DOI: 10.1016/j.ribaf.2017.07.019

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