An Empirical Investigation of the Price Relationship Between Open-End Mutual Funds and Amman Stock Exchange Index
Advances in Management & Applied Economics, vol. 3, no.5, 1-20 ISSN: 1792-7544 (print version), 1792-7552(online) Scienpress Ltd, 2013
20 Pages Posted: 7 May 2020
Date Written: September 20, 2013
This study examines the short and long-run price relationship between mutual funds (Jordinvest First Trust Fund, Growth Fund, Horizon Fund, and Jordan Securities Fund) and Amman Stock Exchange Index over the time period from March, 2005 till the end of November, 2009. The study findings are obtained with respect to various testing methods utilized, including Error Correction Model and Granger causality tests. These tests were applied on series of data for the monthly returns of mutual funds and Amman Stock Index. The empirical results show a long-run relationship of Amman Stock Index on mutual funds. However, the study also reveals no long-run relationship of mutual funds on Amman Stock Index. Furthermore, the empirical findings show that the relationship of Amman Stock Index on mutual funds is significantly more established than the relationship of mutual funds on Amman Stock Index. Finally, the results find a significant causal relationship in one way manner from mutual funds, with the exception of Jordinvest First Trust Fund, to Amman Stock Index.
Keywords: Mutual Funds, Amman Stock Exchange Index, Unit Root Test, Error Correction Model Test, Granger Causality Test
JEL Classification: C22, C32, G12, G23
Suggested Citation: Suggested Citation