Title: Efficiency tests and volatility effects: evidence from the Jordanian stock market
Abstract: 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.
Publication Year: 2002
Publication Date: 2002-10-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 19
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