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Interest rates volatility and its consequences on stock returns: The case study from Amman Stock Exchange, Jordan

Journal of Economics Library

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Title Interest rates volatility and its consequences on stock returns: The case study from Amman Stock Exchange, Jordan
 
Creator Abu ALJARAYESH, Nada I.;

Master in Finance and Banking Sciences, Jordan


ASFOUR, Lama K.;

Instructor, Department of Banking & Finance

 

American University of Madaba


Al-ABDALLAH, Shadi Y.;

Instructor , financial and business administration and computer science department

Al- Zarqa University College

Al-Balqa Applied University, Salt, Jordan

E-mail: Bmshadi@bau.edu.jo
 
Subject —
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Description Abstract. This paper examines the special effects of interest rates on the stock market return by using monthly time series data for the economy of Jordan over the period of 2006 to 2016. An extensive variety of econometric procedures have been involved to analyze the relationship between the interest rate and stock market return. The study exposes a constant and significant long-run relationship between the variables. By using Cointegration methods the experimental in the long run represents that a one percent rise in interest rate causes (12.3459 %)reduction in market index. The assessed error correction coefficient highlight that (-0.678522) percent deviation of stock returns are corrected in the short run. Impulse response function of the study furthermore sustains the positive relationship between the variables. The result of Variance decompositions recommends that about (99.99705%) of the variation in stock market returns is referring to its own shock which denotes that stock market returns are mostly independent of the other variables in the structure. To go over the main points, Granger causality analysis yield that there is no presence of a unidirectional causality as of interest rate to the market index.Keywords. Stock market, Cointegration, Granger causality, Interest rate, ASE.JEL. E40, E43, G12.
 
Publisher Journal of Economics Library
 
Contributor —
 
Date 2018-07-18
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.kspjournals.org/index.php/JEL/article/view/1654
10.1453/jel.v5i2.1654
 
Source Journal of Economics Library; Vol 5, No 2 (2018): June; 149-160
2149-2379
 
Language eng
 
Relation http://www.kspjournals.org/index.php/JEL/article/view/1654/1632
 
Rights Copyright (c) 2018 Journal of Economics Library
http://creativecommons.org/licenses/by-nc/4.0