Empirical investigation of the equilibrium relationship between micro-macroeconomic variables and Amman stock exchange performance using ARDL Model

الملخص EN

This paper investigates the equilibrium relationship between micro and macroeconomic variables and Amman stock exchange (ASE) index, through ARDL model (the bound test approach), by using monthly data for the period 2011:1 to 2014:3.

Unit root test shows that the set of the study variables (industrial production index (IPI), money supply (MS), investors confidence (NJI), market capitalization (MC), and market price/ earnings (PE) are integrated of orders one and zero.

Consequently, the Autoregressive Distributed Lag (ARDL) approach to Co-integration is used.

The empirical results reveal that the (ASE) performance as measured by ASE price index, and its determinants namely (IPI), (MS), (NJI), (MC), and (PE) have a long–run equilibrium relationship.

To test the stability of short run, and long run coefficients in the ARDL error correction model the cumulative sum (CUSUM) and cumulative sum of squares (CUSUMSQ) tests were employed, and the results show that the model is structurally stable.