Journal article
Fractional integration in daily stock market indices at Jordan's Amman stock exchange
North American Journal of Economics and Finance, Vol.37, pp.16-37
2016
Abstract
Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate the possibility of fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical analysis, using the log-periodogram (LP) and local whittle (LW) based semi-parametric fractional differencing techniques suggest that all sectoral returns at ASE exhibit short memory. However, in the case of volatility measures, we found evidence of long memory. Following the recent literature that argues that structural breaks in a time series could also explain the presence of long memory, we tested the volatility measures for the presence of structural breaks. We found that long memory in some volatility measures could be attributed to the presence of structural breaks. Furthermore, using impulse response functions (IRF) based on ARFIMA, we found that shocks to sectoral returns at ASE exhibit short run persistence, whereas shocks to volatility measures display long run persistence.
Details
- Title
- Fractional integration in daily stock market indices at Jordan's Amman stock exchange
- Authors
- Mohammad Al-Shboul (Author) - University of Sharjah, United Arab EmiratesSajid Anwar (Author) - University of the Sunshine Coast - Faculty of Science, Health, Education and Engineering
- Publication details
- North American Journal of Economics and Finance, Vol.37, pp.16-37
- Publisher
- Elsevier BV
- Date published
- 2016
- DOI
- 10.1016/j.najef.2016.03.005
- ISSN
- 1062-9408
- Organisation Unit
- School of Business and Creative Industries; Indigenous and Transcultural Research Centre; University of the Sunshine Coast, Queensland; USC Business School - Legacy
- Language
- English
- Record Identifier
- 99449491002621
- Output Type
- Journal article
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