In this paper, some GCC stock markets' characteristics and features (volatility clustering, rever... more In this paper, some GCC stock markets' characteristics and features (volatility clustering, reversion to the mean, risk return relationship, leverage effect and weakform efficiency) were investigated. For this purpose, the following tests and models were applied: augmented dickey fuller test and the models GARCH (1.1), EGARCH (1.1) and GARCH-M (1.1), using data over a period from 2010 until 2013 for all the markets except Kuwait stock markets (its data was until 2012). It was concluded after the implementation that the stock markets of Saudi Arabia, Dubai, Qatar, Kuwait and Oman were characterized by all studied features in this work, except for weak-form efficiency. Bahrain stock market was characterized by all the features except for leverage effect and weak-form efficiency whereas Abu Dhabi stock market was characterized by one feature only (i.e. the reversion to the mean).
This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange ... more This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange (ASE). Three statistical and econometric tests were applied: Serial Autocorrelation, Runs, and Unit Roots (Augmented Dickey Fuller) by using returns data series of ASE general index for the period 1/1/2009 till 17/2/2013. The results of the three tests indicate that ASE isn't a weak-form efficient market, and there is some opportunities to achieve some abnormal returns due to the correlation between the historical and future stock prices because the stock prices movement is not random.
This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange ... more This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange (ASE). Three statistical and econometric tests were applied: Serial Autocorrelation, Runs, and Unit Roots (Augmented Dickey Fuller) by using returns data series of ASE general index for the period 1/1/2009 till 17/2/2013. The results of the three tests indicate that ASE isn't a weak-form efficient market, and there is some opportunities to achieve some abnormal returns due to the correlation between the historical and future stock prices because the stock prices movement is not random.
Humanities and Management Sciences - Scientific Journal of King Faisal University, 2020
In this paper, some GCC stock markets' characteristics and features (volatility clustering, rever... more In this paper, some GCC stock markets' characteristics and features (volatility clustering, reversion to the mean, risk return relationship, leverage effect and weakform efficiency) were investigated. For this purpose, the following tests and models were applied: augmented dickey fuller test and the models GARCH (1.1), EGARCH (1.1) and GARCH-M (1.1), using data over a period from 2010 until 2013 for all the markets except Kuwait stock markets (its data was until 2012). It was concluded after the implementation that the stock markets of Saudi Arabia, Dubai, Qatar, Kuwait and Oman were characterized by all studied features in this work, except for weak-form efficiency. Bahrain stock market was characterized by all the features except for leverage effect and weak-form efficiency whereas Abu Dhabi stock market was characterized by one feature only (i.e. the reversion to the mean).
This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange ... more This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange (ASE). Three statistical and econometric tests were applied: Serial Autocorrelation, Runs, and Unit Roots (Augmented Dickey Fuller) by using returns data series of ASE general index for the period 1/1/2009 till 17/2/2013. The results of the three tests indicate that ASE isn't a weak-form efficient market, and there is some opportunities to achieve some abnormal returns due to the correlation between the historical and future stock prices because the stock prices movement is not random.
In this paper, some GCC stock markets' characteristics and features (volatility clustering, rever... more In this paper, some GCC stock markets' characteristics and features (volatility clustering, reversion to the mean, risk return relationship, leverage effect and weakform efficiency) were investigated. For this purpose, the following tests and models were applied: augmented dickey fuller test and the models GARCH (1.1), EGARCH (1.1) and GARCH-M (1.1), using data over a period from 2010 until 2013 for all the markets except Kuwait stock markets (its data was until 2012). It was concluded after the implementation that the stock markets of Saudi Arabia, Dubai, Qatar, Kuwait and Oman were characterized by all studied features in this work, except for weak-form efficiency. Bahrain stock market was characterized by all the features except for leverage effect and weak-form efficiency whereas Abu Dhabi stock market was characterized by one feature only (i.e. the reversion to the mean).
This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange ... more This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange (ASE). Three statistical and econometric tests were applied: Serial Autocorrelation, Runs, and Unit Roots (Augmented Dickey Fuller) by using returns data series of ASE general index for the period 1/1/2009 till 17/2/2013. The results of the three tests indicate that ASE isn't a weak-form efficient market, and there is some opportunities to achieve some abnormal returns due to the correlation between the historical and future stock prices because the stock prices movement is not random.
This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange ... more This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange (ASE). Three statistical and econometric tests were applied: Serial Autocorrelation, Runs, and Unit Roots (Augmented Dickey Fuller) by using returns data series of ASE general index for the period 1/1/2009 till 17/2/2013. The results of the three tests indicate that ASE isn't a weak-form efficient market, and there is some opportunities to achieve some abnormal returns due to the correlation between the historical and future stock prices because the stock prices movement is not random.
Humanities and Management Sciences - Scientific Journal of King Faisal University, 2020
In this paper, some GCC stock markets' characteristics and features (volatility clustering, rever... more In this paper, some GCC stock markets' characteristics and features (volatility clustering, reversion to the mean, risk return relationship, leverage effect and weakform efficiency) were investigated. For this purpose, the following tests and models were applied: augmented dickey fuller test and the models GARCH (1.1), EGARCH (1.1) and GARCH-M (1.1), using data over a period from 2010 until 2013 for all the markets except Kuwait stock markets (its data was until 2012). It was concluded after the implementation that the stock markets of Saudi Arabia, Dubai, Qatar, Kuwait and Oman were characterized by all studied features in this work, except for weak-form efficiency. Bahrain stock market was characterized by all the features except for leverage effect and weak-form efficiency whereas Abu Dhabi stock market was characterized by one feature only (i.e. the reversion to the mean).
This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange ... more This paper aims at testing the hypothesis of Weak-Form Market Efficiency in Amman Stock Exchange (ASE). Three statistical and econometric tests were applied: Serial Autocorrelation, Runs, and Unit Roots (Augmented Dickey Fuller) by using returns data series of ASE general index for the period 1/1/2009 till 17/2/2013. The results of the three tests indicate that ASE isn't a weak-form efficient market, and there is some opportunities to achieve some abnormal returns due to the correlation between the historical and future stock prices because the stock prices movement is not random.
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