The efficiency of Amman stock exchange (ASE)‎ before and after the global financial crisis (2008)‎

Abstract EN

The study aimed at examining the efficiency of Amman Stock Exchange (ASE) in the weak form for two sub periods, before and after the global financial crisis in 2008, by testing the random walk hypothesis for the return series of general indices: (free float index, weighted index, and unweighted indices), and for the return series of sector indices: (sectors free float indices, sectors weighted indices, and sectors unweighted indices).

Four tests were employed 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 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 for the first sub- period 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 concluded from the empirical results that there is some evidence of the random walk in the return series of indices after the 2008 global financial crisis in Amman Stock Exchange.