The influence of global financial crisis on Jordanian equity market: VECM approach
The current paper attempts to analyse the causality and co-integration relationship between the global financial crisis and the general stock price index (SPI) in the Jordanian equity market for the 1978-2011 period. A vector error correction model (VECM) is utilised to test the causal relationship...
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Inderscience Publishers
2023
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| author | Bekhet H.A. Matar A. |
| author2 | 37100908800 |
| author_facet | 37100908800 Bekhet H.A. Matar A. |
| author_sort | Bekhet H.A. |
| building | UNITEN Library |
| collection | Institutional Repository |
| content_provider | Universiti Tenaga Nasional |
| content_source | UNITEN Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | The current paper attempts to analyse the causality and co-integration relationship between the global financial crisis and the general stock price index (SPI) in the Jordanian equity market for the 1978-2011 period. A vector error correction model (VECM) is utilised to test the causal relationship between SPI and its determinants [gross domestic product (GDP), money supply (M2), exchange rate (EX) and consumer price index (CPI)]. The results identify a co-integration between SPI and Jordanian macroeconomic variables indicating a long-run equilibrium relationship among them. The error-correction term coefficient has a significant negative sign pointed to the adjustment back from short-run disequilibrium to the long-run equilibrium. The Granger causality test suggests a bidirectional causal relationship between SPI and M2 in the short and long runs. In addition, the results reveal that the global financial crisis has a positive significant impact on the SPI. Copyright � 2013 Inderscience Enterprises Ltd. |
| format | Article |
| id | my.uniten.dspace-29361 |
| institution | Universiti Tenaga Nasional |
| publishDate | 2023 |
| publisher | Inderscience Publishers |
| record_format | dspace |
| spelling | my.uniten.dspace-293612023-12-28T12:12:46Z The influence of global financial crisis on Jordanian equity market: VECM approach Bekhet H.A. Matar A. 37100908800 56741953000 Equity market Global financial crisis Granger causality Jordan Stock price index VECM Vector error correction model The current paper attempts to analyse the causality and co-integration relationship between the global financial crisis and the general stock price index (SPI) in the Jordanian equity market for the 1978-2011 period. A vector error correction model (VECM) is utilised to test the causal relationship between SPI and its determinants [gross domestic product (GDP), money supply (M2), exchange rate (EX) and consumer price index (CPI)]. The results identify a co-integration between SPI and Jordanian macroeconomic variables indicating a long-run equilibrium relationship among them. The error-correction term coefficient has a significant negative sign pointed to the adjustment back from short-run disequilibrium to the long-run equilibrium. The Granger causality test suggests a bidirectional causal relationship between SPI and M2 in the short and long runs. In addition, the results reveal that the global financial crisis has a positive significant impact on the SPI. Copyright � 2013 Inderscience Enterprises Ltd. Final 2023-12-28T04:12:45Z 2023-12-28T04:12:45Z 2013 Article 10.1504/IJMEF.2013.059946 2-s2.0-84896993721 https://www.scopus.com/inward/record.uri?eid=2-s2.0-84896993721&doi=10.1504%2fIJMEF.2013.059946&partnerID=40&md5=50c70399fe042369556e7c4990ca8418 https://irepository.uniten.edu.my/handle/123456789/29361 6 4 285 301 Inderscience Publishers Scopus |
| spellingShingle | Equity market Global financial crisis Granger causality Jordan Stock price index VECM Vector error correction model Bekhet H.A. Matar A. The influence of global financial crisis on Jordanian equity market: VECM approach |
| title | The influence of global financial crisis on Jordanian equity market: VECM approach |
| title_full | The influence of global financial crisis on Jordanian equity market: VECM approach |
| title_fullStr | The influence of global financial crisis on Jordanian equity market: VECM approach |
| title_full_unstemmed | The influence of global financial crisis on Jordanian equity market: VECM approach |
| title_short | The influence of global financial crisis on Jordanian equity market: VECM approach |
| title_sort | influence of global financial crisis on jordanian equity market: vecm approach |
| topic | Equity market Global financial crisis Granger causality Jordan Stock price index VECM Vector error correction model |
| url_provider | http://dspace.uniten.edu.my/ |