Testing the efficiency of Amman stock exchange (ASE)‎ in the weak form

العناوين الأخرى

اختبار كفاءة بورصة عمان للأسهم في الضعيف

مقدم أطروحة جامعية

al-Bustanji, Ismail Abd al-Hamid

مشرف أطروحة جامعية

al-Ali, Asad H.

الجامعة

جامعة مؤتة

الكلية

كلية إدارة الأعمال

القسم الأكاديمي

قسم إدارة الأعمال و التسويق

دولة الجامعة

الأردن

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2012

الملخص الإنجليزي

The study aimed at examining the efficiency of Amman Stock Exchange(ASE) in the weak form by testing the random walk hypothesis for the return series of general indices: free float index, weighted index, and unweighted indices, and the return series of sectors free float indices, sectors weighted indices, and sectors unweighted indices for the period from January 2, 2000 to October 6, 2011 and for two sub-periods, the first one from January 2, 2000 to September 29, 2008, and the second sub-period from October 5, 2008 to October 6, 2011.

The researcher employed four tests to examine the random walk hypothesis, the unit root test, the runs test, the autocorrelation test, and the variance ratio test.

The results of the unit root test indicate that the null hypothesis of unit root is rejected for all return series of general indices and sectors indices for the whole period and for the two sub-periods.

In the other hand all tests show that the return series of general indices and sectors indices for the whole period and the first subperiod don’t follow the random walk.

For the second sub- period the results of autocorrelation and the variance ratio test show that the return series of general unweighted index, and insurance unweighted follow the random walk.

The runs test results indicate that return series of the general weighted index and some of the sectors indices follow the random walk.

Briefly it could be noticed from the empirical result that there is some evidence of the random walk in the return series of indices after the 2008

التخصصات الرئيسية

العلوم الاقتصادية والمالية وإدارة الأعمال

عدد الصفحات

73

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-785796