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Examining Relationship Between Palestine and Amman Stock - Cointegration Approach

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 mo...

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Main Authors: Abdul Razak Abdul Hadi, Shadi Hamad, Mohamed Hisham Yahya, Tahir Iqbal
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語言:English
出版: 2013
主題:
PEX
ASE
Cointegration Procedure
Granger Causality Test
Stock Market Index
在線閱讀:http://ir.unikl.edu.my/jspui/handle/123456789/5222
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spelling my.unikl.ir-52222013-12-10T01:30:00Z Examining Relationship Between Palestine and Amman Stock - Cointegration Approach Abdul Razak Abdul Hadi Shadi Hamad Mohamed Hisham Yahya Tahir Iqbal PEX ASE Cointegration Procedure Granger Causality Test Stock Market Index 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. 2013-12-10T01:30:00Z 2013-12-10T01:30:00Z 2013-12-10 http://ir.unikl.edu.my/jspui/handle/123456789/5222 en
institution Universiti Kuala Lumpur
building UniKL Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kuala Lumpur
content_source UniKL Institutional Repository
url_provider http://ir.unikl.edu.my/
language English
topic PEX
ASE
Cointegration Procedure
Granger Causality Test
Stock Market Index
spellingShingle PEX
ASE
Cointegration Procedure
Granger Causality Test
Stock Market Index
Abdul Razak Abdul Hadi
Shadi Hamad
Mohamed Hisham Yahya
Tahir Iqbal
Examining Relationship Between Palestine and Amman Stock - Cointegration Approach
description 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.
format
author Abdul Razak Abdul Hadi
Shadi Hamad
Mohamed Hisham Yahya
Tahir Iqbal
author_facet Abdul Razak Abdul Hadi
Shadi Hamad
Mohamed Hisham Yahya
Tahir Iqbal
author_sort Abdul Razak Abdul Hadi
title Examining Relationship Between Palestine and Amman Stock - Cointegration Approach
title_short Examining Relationship Between Palestine and Amman Stock - Cointegration Approach
title_full Examining Relationship Between Palestine and Amman Stock - Cointegration Approach
title_fullStr Examining Relationship Between Palestine and Amman Stock - Cointegration Approach
title_full_unstemmed Examining Relationship Between Palestine and Amman Stock - Cointegration Approach
title_sort examining relationship between palestine and amman stock - cointegration approach
publishDate 2013
url http://ir.unikl.edu.my/jspui/handle/123456789/5222
_version_ 1644484698448068608
score 13.251813

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