أثر الأزمات المالية على عوائد الأسهم و التقلبات في قطاعي البنوك و التأمين في بورصة عمان (1994-2011)‎

Abstract EN

This study aimed to test the impact of financial crisis on stock market returns and volatility in Banking and Insurance sectors in Amman Stock Exchange (ASE), by testing the behavior of the closing prices of monthly shares for the period (1994-20101), using GARCHM model.

The study found a significant effect of the crisis, Mexico in 1994, the crisis of 11 / September / 2001, the Asian crisis of 1997 and the war on Iraq in 2003, in stock returns and volatility in the banking sector in the Amman Stock Exchange.

And negative statistically significant impact for each of the Russian crisis 1998, and the global financial crisis 2008 on stock returns and volatility in the banking sector in the Amman Stock Exchange.

There is also a positive statistically significant effect for each of the Asian crisis of 1997 and the war on Iraq in 2003, and a negative statistically significant impact for the global financial crisis of 2008, stock returns and volatility in the insurance sector in the Amman Stock Exchange, Also the test of GARCH–M model had concluded that the biggest impact of financial crisis concentrated on stock market returns are on banking sector in the first place, followed by Insurance sector.