文章基本信息
- 标题：Examining Relationship between Palestine Stock Exchange and Amman Stock Exchange-Cointegration Approach
- 本地全文：下载
- 作者：Abdul Razak Abdul Hadi ; Shadi Hamad ; Mohamed Yahya 等
- 期刊名称：International Journal of Business and Management
- 印刷版ISSN：1833-3850
- 电子版ISSN：1833-8119
- 出版年度：2013
- 卷号：8
- 期号：7
- 页码：133
- DOI：10.5539/ijbm.v8n7p133
- 出版社：Canadian Center of Science and Education
- 摘要：
This paper aims at examining the probable equilibrium and dynamic relations between Palestine Stock
Exchange (PEX) and Amman Stock Exchange (ASE). Within the framework of international trade theories, this
study employs Engle-Granger Cointegration procedure (1987) as an estimation model involving monthly time
series data from 1997 through 2011. The empirical results show that there is a significant equilibrium
relationship between PEX and ASE, but fail to establish empirical evidence on dynamic relations between the
two stock markets using Granger Causality tests. However, analysis of dynamic interactions during the
post-sample period via Impulse-Response Functions and Variance Decomposition suggest that changes in ASE
index do influence the performance of PEX.
