This paper applies runs test -runs up and down, distributions of runs by length, and runs above and below -to examine whether ASE is weak form efficient. The empirical results obtained in this paper suggest that the price behavior in ASE does not follow the random walk model over time. However, this does not necessarily imply a violation of weak form efficiency (vice versa is not correct).
Recent econometric procedures are employed in this paper to investigate the behavioural properties of Amman Stock Exchange (ASE) indices. Box-Jenkins estimation, irrespective of the index examined, produced different models with a high prediction performance, violating the EMH conditions. The unit-root test also confirmed these results since the return series for all indices did not exhibit unit root, and all processes were stationary.
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