A sectoral efficiency analysis of the Amman Stock Exchange

Mufeed Rawashdeh and Jay Squalli

Applied Financial Economics Letters, 2006, vol. 2, issue 6, 407-411

Abstract: Market efficiency is tested for across the four sectors of the Amman Stock Exchange (ASE). Using daily sectoral indexes between 1992 and 2004 and a variance ratio and runs tests, it is found that the random walk and weak form efficiency hypotheses are rejected for all sectors. Furthermore, it is found that returns fit a mean-reverting process which may suggest abnormally high volatility, overinflated stock prices, and frequent market corrections from a bubble effect. This also indicates that investments in all sectors of the ASE may be very risky in the short run.

Date: 2006
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DOI: 10.1080/17446540600706841

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