Amman Price Index Volatility Shocks: Empirical Study during (2011 – 2015)

Hussein Mohammad Salameh, Bashar Alzubi

Abstract


This paper investigates the Amman Price Index volatility shocks and assesses whether these shocks are internal or external ones. Monthly time series data is collected over the period from January 2011 to December 2015 and the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) methodology is implemented to detect the sources of shocks in Amman Stock Exchange. Empirically, we find that the current volatility of Amman Price Index is due to internal shocks, while the external volatilities, such as FSTE and S&P 500, have not influenced the index significantly. These results conclude that Jordan Securities Commission has clearly captured the effect of external shocks, but definitely not that of internal ones. These particular vulnerabilities in the index indicate that the stock market in Jordan does not have large exposure to international trade. This suggests the presence of diversification opportunities for international investors in Amman Stock Exchange.

Keywords


ASE, GARCH, Shocks, DFM, FSTE, S&P500.

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