Empirical investigation of the equilibrium relationship between micro-macroeconomic variables and Amman stock exchange performance using ARDL Model
Other Title(s)
استقصاء العلاقة التوازنية بين المتغيرات الاقتصادية الجزئية و الكلية و مؤشرات بورصة عمان من خلال نموذج المتغيرات المتباطئة زمنيا ARDL
Author
Source
Dirasat : Administrative Sciences
Issue
Vol. 43, Issue 1 (30 Jun. 2016), pp.287-299, 13 p.
Publisher
University of Jordan Deanship of Academic Research (DAR)
Publication Date
2016-06-30
Country of Publication
Jordan
No. of Pages
13
Main Subjects
Economics & Business Administration
Abstract 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.
American Psychological Association (APA)
al-Adayilah, Radi Muhammad. 2016. Empirical investigation of the equilibrium relationship between micro-macroeconomic variables and Amman stock exchange performance using ARDL Model. Dirasat : Administrative Sciences،Vol. 43, no. 1, pp.287-299.
https://search.emarefa.net/detail/BIM-818897
Modern Language Association (MLA)
al-Adayilah, Radi Muhammad. Empirical investigation of the equilibrium relationship between micro-macroeconomic variables and Amman stock exchange performance using ARDL Model. Dirasat : Administrative Sciences Vol. 43, no. 1 (2016), pp.287-299.
https://search.emarefa.net/detail/BIM-818897
American Medical Association (AMA)
al-Adayilah, Radi Muhammad. Empirical investigation of the equilibrium relationship between micro-macroeconomic variables and Amman stock exchange performance using ARDL Model. Dirasat : Administrative Sciences. 2016. Vol. 43, no. 1, pp.287-299.
https://search.emarefa.net/detail/BIM-818897
Data Type
Journal Articles
Language
English
Notes
Record ID
BIM-818897