Testing the efficiency of Amman stock exchange (ASE) in the weak form
Other Title(s)
اختبار كفاءة بورصة عمان للأسهم في الضعيف
Dissertant
al-Bustanji, Ismail Abd al-Hamid
Thesis advisor
University
Mutah University
Faculty
Faculty of Business
Department
Department of Business Administration and Marketing
University Country
Jordan
Degree
Master
Degree Date
2012
English Abstract
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
Main Subjects
Economics & Business Administration
No. of Pages
73
Table of Contents
Table of contents.
Abstract.
Abstract in Arabic.
Chapter One : Introduction.
Chapter Two : Theoretical framework and literature review.
Chapter Three : Research design and methodology.
Chapter Four : Empirical results.
Chapter Five : Conclusions and recommendations.
References.
American Psychological Association (APA)
al-Bustanji, Ismail Abd al-Hamid. (2012). Testing the efficiency of Amman stock exchange (ASE) in the weak form. (Master's theses Theses and Dissertations Master). Mutah University, Jordan
https://search.emarefa.net/detail/BIM-785796
Modern Language Association (MLA)
al-Bustanji, Ismail Abd al-Hamid. Testing the efficiency of Amman stock exchange (ASE) in the weak form. (Master's theses Theses and Dissertations Master). Mutah University. (2012).
https://search.emarefa.net/detail/BIM-785796
American Medical Association (AMA)
al-Bustanji, Ismail Abd al-Hamid. (2012). Testing the efficiency of Amman stock exchange (ASE) in the weak form. (Master's theses Theses and Dissertations Master). Mutah University, Jordan
https://search.emarefa.net/detail/BIM-785796
Language
English
Data Type
Arab Theses
Record ID
BIM-785796
