Please use this identifier to cite or link to this item:
http://hdl.handle.net/123456789/5222
Title: | Examining Relationship Between Palestine and Amman Stock - Cointegration Approach |
Authors: | Abdul Razak Abdul Hadi Shadi Hamad Mohamed Hisham Yahya Tahir Iqbal |
Keywords: | PEX ASE Cointegration Procedure Granger Causality Test Stock Market Index |
Issue Date: | 10-Dec-2013 |
Abstract: | This paper aims at examining the probable equilibrium and dynamic relations between Palestine Stock Exchange (PEX) and Amman Stock Exchange (ASE). Within the framework of international trade theories, this study employs Engle-Granger Cointegration procedure (1987) as an estimation model involving monthly time series data from 1997 through 2011. The empirical results show that there is a significant equilibrium relationship between PEX and ASE, but fail to establish empirical evidence on dynamic relations between the two stock markets using Granger Causality tests. However, analysis of dynamic interactions during the postsample period via Impulse-Response Functions and Variance Decomposition suggest that changes in ASE index do influence the performance of PEX. |
URI: | http://ir.unikl.edu.my/jspui/handle/123456789/5222 |
Appears in Collections: | Conference Paper |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
EXAMINING RELATIONSHIP BETWEEN PALESTINE STOCK EXCHANGE AND AMMAN STOCK EXCHANGE– COINTEGRATION APPROACH.pdf | 336.28 kB | Adobe PDF | View/Open Request a copy |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.