The use of unit root and Box-Jenkins in Amman Stock Exchange (ASE)

Authors

  • Sameer Al Barghouthi
  • Ijaz Ur Rehman
  • Sandra Fahmy
  • Aysha Ehsan

DOI:

https://doi.org/10.1285/i20705948v9n3p552

Keywords:

Unit root, box-Jenkins, market efficiency, ASE

Abstract

This paper aims at examining the level of the efficiency of Amman Stock Exchange (ASE) on weak form, semi-strong form and strong form levels from January 2008 to December 2014. The paper concludes that there is a significant prediction performance of all ASE indices of the Jordanian market by using Box-Jenkins estimation. This result was confirmed by unit-root test since the return series for the five Jordanian indices failed to prove unit root.

Downloads

Published

02-11-2016

Issue

Vol. 9 No. 3 (2016): Electronic Journal of Applied Statistical Analysis (Special Issue inspired by the Conference " BDA 2016")

Section

Special Issue - BDA2016

License

Authors who publish with EJASA agree to the  Creative Commons Attribuzione - Non commerciale - Non opere derivate 3.0 Italia License.