Download This PaperAmman Price Index Volatility Shocks: Empirical Study during 2011 – 2015
Jordan Journal of Business Administration, Volume 15, No. 2, 2019
14 Pages Posted: 4 Jun 2020
Date Written: June 6, 2019
Abstract
This paper investigates the Amman Price Index volatility shocks and assesses whether these shocks are internal or external ones. A monthly time series data is collected over the period 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 the 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 the Amman Stock Exchange.
Keywords: ASE; GARCH; Shocks; DFM; FSTE; S&P500
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