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Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach


Citation

Abdul Hadi, Abdul Razak and Hamad, Shadi Ali and Yahya, Mohamed Hisham and Iqbal, Tahir (2013) Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach. International Journal of Business and Management, 8 (7). pp. 133-145. ISSN 1833-3850; ESSN: 1833-8119

Abstract / Synopsis

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 post-sample period via Impulse-Response Functions and Variance Decomposition suggest that changes in ASE index do influence the performance of PEX.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.5539/ijbm.v8n7p133
Publisher: Canadian Center of Science and Education
Keywords: PEX; ASE; Cointegration procedure; Granger causality test; Stock market index
Depositing User: Nabilah Mustapa
Date Deposited: 06 Aug 2015 06:30
Last Modified: 10 Sep 2015 06:25
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.5539/ijbm.v8n7p133
URI: http://psasir.upm.edu.my/id/eprint/28278
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