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Author/Editor:
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Saadi-Sedik, Tahsin ; Petri, Martin
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Publication Date:
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August 01, 2006
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Electronic Access:
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Free Full text
(PDF file size is 479KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
We analyze the performance of the Amman Stock Exchange (ASE) and its integration with other markets. Using cointegration techniques, we find that the ASE and other Arab stock markets are cointegrated, which implies little long-run risk diversification. However, there is no cointegrating relationship between the ASE and other emerging or developed stock markets. Two of the main regional stock markets-Kuwait and Saudi Arabia-Grangercause the Jordanian stock market. The paper finds that there may have been some overvaluation at end-2005, but that the market correction in early 2006 and strong recent earnings growth have reduced overvaluation concerns.
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Order a print copy
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Series:
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Working Paper No. 06/187
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Subject(s):
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Stock markets | Jordan | Investment
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Author's Keyword(s):
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Jordan | stock market integration | cointegration | common trends |
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