Random Prices’ Movement and Market Efficiency Level Evidence from Amman Stock Exchange

Sam Sa'd Mohamad

Abstract


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.

Keywords


Market Efficiency, Random Movement of Stock Prices.

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