Efficiency tests and volatility effects: evidence from the Jordanian stock market

Ghassan Omet, Mohammad Khasawneh and Jamal Khasawneh

Applied Economics Letters, 2002, vol. 9, issue 12, 817-821

Abstract: This paper examines the efficiency of the Jordanian stock exchange and the relationship between returns and conditional volatility. An AR(1)-GARCH(1,1)-M model is estimated for five daily indices. The empirical results indicate significant departures from the efficient market hypothesis; in only two cases there is a significant relationship between risk and return, and returns tend to exhibit high persistent volatility clustering.

Date: 2002
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DOI: 10.1080/13504850210161931

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