91
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

Efficiency tests and volatility effects: evidence from the Jordanian stock market

Pages 817-821 | Published online: 06 Oct 2010

References

  • Al-Loughani , N. and Chappell , D. 1997 . Test for IID assumption implied by EMH . Applied Financial Economics , 7 : 173 – 176 .
  • Atje , R. and Jovanovic , B. 1989 . Stock markets and development . European Economic Review , 37 : 632 – 640 .
  • Bekaert , G. and Harvey , C. 1997 . Emerging equity market volatility . Journal of Financial Economics , 43 : 29 – 77 .
  • Bollerslev , T , Chou , R. and Kroner , K. 1992 . ARCH modeling in finance . Journal of Econometrics , 52 : 5 – 59 .
  • Campbell , J. , Lo , A. and Mackinlay , A. 1997 . The Econometrics of Financial Markets Princeton
  • Chelley-Steeley , P. and Pentecost , E. 1994 . Stock market efficiency, the small firm effect and cointegration . Applied Financial Economics , 24 : 405 – 411 .
  • Choudhry , T. 1996 . Stock market volatility and the crash of 1987: evidence from six emerging markets . Journal of International Money and Finance , 15 : 969 – 981 .
  • Choudhry , T. 2000 . Day of the week effect in emerging asian stock markets: evidence from the GARCH model . Applied Financial Economics , 10 : 235 – 242 .
  • De Santis , G. and Imrohorolus , S. 1997 . Stock returns and volatility in emerging financial markets . Journal of International Money and Finance , 16 : 561 – 579 .
  • Fama , E. 1970 . Efficient capital market: a review of theory and empirical work . Journal of Finance , 25 : 383 – 417 .
  • Fama , E. 1991 . Efficient capital markets: II . Journal of Finance , 46 : 1575 – 1615 .
  • Fraser , P. and Power , D. 1997 . Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets . Applied Financial Economics , 7 : 241 – 253 .
  • Goldsmith , R. 1969 . Financial Structures and Development , Yale University Press .
  • Jappelli , T. and Pagano , M. 1994 . Savings, growth and liquidity constraints . Quarterly Journal of Economics , 109 : 83 – 109 .
  • Khambata , D. 2000 . Impact of foreign investment on volatility and growth of emerging stock market . Multinational Business Review , 8 : 50 – 59 .
  • Kim , E. and Singal , V. 2000 . Stock market openings: experience of emerging economies . Journal of Business , 73 : 25 – 66 .
  • King , R. and Levine , R. 1993 . Finance and growth: Schumpeter might be right . Quarterly Journal of Economics , 108 : 717 – 737 .
  • Lee , B. 1998 . Permanent, temporary, and non-fundamental components of stock prices . Journal of Financial and Quantitative Analysis , 33 : 1 – 32 .
  • Lee , B. , Cheng , J. , Lin , C. and Huang , C. 1998 . Market efficiency hypothesis on stock prices: international evidence in the 1920's . Applied Financial Economics , 8 : 61 – 65 .
  • Levine , R. and Zervos , S. 1998 . Stock Markets, banks and economic growth . American Economic Review , 88 : 537 – 568 .
  • Maddala , G. 1992 . Introduction to Econometrics , Second Edn , New York : MacMillan Publishing Company .
  • McKinnon , R. 1973 . Money and Capital in Economic Development , Washington, DC : Brookings Institution .
  • Mecagni , M. and Sourial , S. 1999 . The Egyptian stock market: efficiency tests and volatility effects , IMF Working Papers, WP/99/48
  • Poon , S. and Taylor , S. 1992 . Stock returns and volatility: an empirical study of the UK stock market . Journal of Banking and Finance , 16 : 35 – 59 .
  • Shaw , E. 1973 . Financial Deepening in Economic Development , New York : Oxford University Press .
  • Titman , S. and Wei , J. 1999 . Understanding stock market volatility, The case of Korea and Taiwan . Pacific-Basin Finance Journal , 7 : 377 – 389 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.