Since 2014
Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Jordan
International Business and Management
View Archive Info| Field | Value | |
| Title |
Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Jordan
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| Creator |
Ananzeh, Izz Eddien N.
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| Subject |
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Weak-Form efficient market hypotheses; Runs test; Unit root tests — |
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| Description |
Efficient Market Hypothesis (EMH) implies that the future price of a stock is unpredictable with respect to currently available information; our study conducted in order to test efficiency of the Amman stock market (ASE) returns at the weak-form, by using daily observations for the Amman Stock Exchange. Parametric and nonparametric tests e utilized for examining the randomness of stock prices for ASE. The Jarque-Bera test show evidence for normality that the daily returns of the ASE are not normally distributed, and the runs tests both detect that the daily returns are inefficient at the weak form. In addition, the unit root tests (Augmented Dickey-Fuller (ADF) unit root test and Phillips-Peron (PP) unit root test) suggest the weak-form inefficiency in the return series. In general, we can conclude that the ASE stock market is inefficient at the weak form level. Key words: Weak-Form efficient market hypotheses; Runs test; Unit root tests
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| Publisher |
Canadian Research & Development Center of Sciences and Cultures
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| Contributor |
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| Date |
2014-11-30
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
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| Format |
application/pdf
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| Identifier |
http://www.cscanada.net/index.php/ibm/article/view/5524
10.3968/%x |
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| Source |
International Business and Management; Vol 9, No 2 (2014): International Business and Management; 119-123
1923-8428 1923-841X |
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| Language |
eng
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| Relation |
http://www.cscanada.net/index.php/ibm/article/view/5524/pdf_104
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