标题：Testing the Efficiency of ASE by the Two Step Regression Based Technique, the Johansen Multivariate Technique Cointegration, and Granger Causality
其他标题：Testing the Efficiency of ASE by the Two Step Regression Based Technique, the Johansen Multivariate Technique Cointegration, and Granger Causality
期刊名称：Electronic Journal of Applied Statistical Analysis
电子版ISSN：2070-5948
出版年度：2016
卷号：9
期号：3
页码：572-586
DOI：10.1285/i20705948v9n3p572
语种：English
出版社：University of Salento
摘要：The Efficient Market Hypothesis (EMH) is based on the assumption that the future price of a stock cannot be predicted based on the currently available information. The main objective of this study is to test whether Amman Stock Exchange (ASE) is efficient at the weak-form. This study investigates any significant relation between the five indices of the Jordan market; General Index, Industrial Index, Insurance Index, Service Index and the Bank Index. The analysis of the performance of the Jordan equity market presented in this study is done through recently developed techniques; namely, The Two Step Regression Based Technique, The Johansen Multivariate Technique cointegration, and Granger causality.
Loading...
