Co-integration and Causal Relationships: The Case of the Jordanian and Developed Stock Markets

Mugableh, Mohamed Ibrahim

doi:10.5430/ijfr.v11n6p188

Cited by 2 publications

(3 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Our findings show that the U.S. stock market index (S&P 500) is crucial in the ASEI prediction model. is result is consistent with [19], who found integration and causal relationship between ASEI and U.S. stock markets. Finally, financial markets tend to behave similarly, especially during the financial crisis, health crisis, and political instability such as the Arab spring revolutions.…”

Section: Artificial Neural Networksupporting

confidence: 91%

“…Few researchers have tried to estimate the relationship between international stock market indices and Amman Stock Exchange Index (ASEI) and predict one of the ASE subindices. Reference [19] showed that the co-integration and causal relationship exists among ASEI, U.S. stock markets, and the U.K. market.…”

Section: Prediction Of Amman Stock Exchange Index (Asei) and Ase Subs...mentioning

confidence: 99%

“…However, few researchers tried to predict the performance of stock markets through the integration between different international and national markets' indices [10,17,18]. Besides, limited scholars focused on integrating with international markets on either developing markets or Jordan's financial market (ASE) [6,19,20]. In investigating the expected integration between stock markets, most researchers applied regression analysis models and other advanced models.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The Co-Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices

AL-Najjar

2022

Complexity

View full text Add to dashboard Cite

In the past two decades, especially after the financial crisis of 2007–09, the literature for examining the availability of integration between the stock exchanges in developed and developing markets has grown. The importance of this topic stems from the significant implications of the linkage between exchange markets on various decisions taken by interested parties, such as policymakers and investors, in the decisions for portfolio diversification. This study examines the relationship between a developing stock exchange index, Amman Stock Exchange Index (ASEI), and the number of international indices, including S&P 500, NASDAQ, Nikkei, DAX, CAC, and HSI for 2008-2019. To validate the availability of the linkage between the indices, the author includes various tests of a correlation coefficient, stepwise regression analysis, and artificial neural network (ANN). Despite the results indicating that the ANN is more efficient than linear regression in investigating the availability of the relationship between ASEI and international indices, stepwise regression and neural network support this relationship. Furthermore, ANN results revealed that the S&P 500 index and year have the most substantial relationship with ASEI. Our research is theoretically and practically important; policymakers and investors can benefit from our findings. Future studies may explore the effect of different international stock market indices on ASEI or other developing markets. Further studies can use macroeconomic factors to build prediction models for stock market indices.

show abstract

Section: Artificial Neural Networksupporting

confidence: 91%

Section: Prediction Of Amman Stock Exchange Index (Asei) and Ase Subs...mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

The Co-Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices

AL-Najjar

2022

Complexity

View full text Add to dashboard Cite

show abstract

The Co-Movement between Emerging Stock Markets Using DCC-GARCH Model: Evidence from GCC and Amman Stock Exchange

Matar

2023

Ann. Finan. Econ.

View full text Add to dashboard Cite

This study examines the existence of interrelationships among GCC and Jordanian stock markets. The study applied weekly data for stock price indices for the Amman Exchange (ASE) and Gulf Cooperation Council (GCC) countries, namely, Saudi Arabia, Qatar, Bahrain, Kuwait, Oman and the United Arab Emirates. In this analysis, weekly market returns were employed to avoid the overlapping of recognized holidays and trading hours in the GCC and the ASE. During the global financial crisis and the COVID-19 pandemic crisis, the sample period spanned from January 7, 2009 to December 30, 2020 for overall (626) weekly observations The main contribution of this study is to shed light on the dynamics of cross-market associations, particularly in the context of emerging economies can be concluded as follows: First, this study is a forefront study that tested the linkages between GCC and Jordanian Markets. Second, the period of this study covered various crises such as the global financial crisis, and COVID-19. Third, the empirical study of multivariate integration, which considers both pairwise interactions and the overall integration of different stock markets by utilizing cutting-edge econometric methods like VECM and DCC-GARCH. As a result, an examination of ASE’s weekly stock price index was conducted. The findings show that there is causality and correlation among stock market indices. Three unidirectional causality relationships running from KUW, OMAI, and UAEI to ASEI. Moreover, the results revealed two bidirectional causality relationships, one between ASEI and BAHI and the other between ASEI and UAEI. The conditional correlations appear to be generally negative, implying that higher ASE volatility causes worse GCC stock returns. Saudi Arabia has the highest conditional connections, followed by Bahrain, Qatar and the United Arab Emirates, while Kuwait and Oman’s stock markets are the least connected with the ASE among their peers. Since financial indices are essential for investors, portfolio managers, risk management and fiscal and monetary policy, the findings of this study may be interest of many parties of them, especially for investors, policymakers and governments.

show abstract

Co-integration and Causal Relationships: The Case of the Jordanian and Developed Stock Markets

Cited by 2 publications

References 16 publications

The Co-Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices

The Co-Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices

The Co-Movement between Emerging Stock Markets Using DCC-GARCH Model: Evidence from GCC and Amman Stock Exchange

Contact Info

Product

Resources

About