Are Stock Returns Mean Reverting? The Case of Jordan (Evidence Using Bootstrap and GLS Randomization Techniques)

Samer Al-Rjoub, Khaled Al-Zubi


This paper examines the mean-reverting behavior in Amman stock returns. Comparisons of two estimation techniques, the bootstrap and randomization, show strong mean reverting behavior in Jordan’s index returns. Both the bootstrap and randomization methods have been used here to develop standard errors and significance levels for test statistics, which are free of distributional assumption.

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