The Jordanian Stock Market—Should You Invest in It for Risk Diversification or Performance?

August 1, 2006

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Format: Chicago

Martin Petri, and Tahsin Saadi Sedik. The Jordanian Stock Market—Should You Invest in It for Risk Diversification or Performance?, (USA: International Monetary Fund, 2006) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We analyze the performance of the Amman Stock Exchange (ASE) and its integration with other markets. Using cointegration techniques, we find that the ASE and other Arab stock markets are cointegrated, which implies little long-run risk diversification. However, there is no cointegrating relationship between the ASE and other emerging or developed stock markets. Two of the main regional stock markets-Kuwait and Saudi Arabia-Grangercause the Jordanian stock market. The paper finds that there may have been some overvaluation at end-2005, but that the market correction in early 2006 and strong recent earnings growth have reduced overvaluation concerns.

Subject: Asset prices, Emerging and frontier financial markets, Market capitalization, Stock markets, Stocks

Keywords: ASE index, Dividend yield, Price index, U.S. dollar, WP

Publication Details

Pages:

38
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2006/187
Stock No:

WPIEA2006187
ISBN:

9781451864472
ISSN:

1018-5941

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