Price limits and stock returns volatility in Jordanian banks

Samer Al-Rjoub and Sawsan Abutabenjeh

International Journal of Monetary Economics and Finance, 2009, vol. 2, issue 2, 144-165

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).

Keywords: price limits; volatility; GARCH models; EGARCH models; stock returns; Jordan; commercial banks; bank returns. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:2:y:2009:i:2:p:144-165

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