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The Jordanian Stock Market—Should You Invest in It for Risk Diversification or Performance?
Author:
Mr. Martin Petri
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Tahsin Saadi Sedik
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Series:
IMF Working Papers
Volume/Issue:
Volume 2006: Issue 187
Language:
English
Publication Date:
01 Aug 2006
DOI:
https://doi.org/10.5089/9781451864472.001
ISBN:
9781451864472
ISSN:
1018-5941
Pages:
38
Keywords:
WP; ASE index; dividend yield; U.S. dollar; price index
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund