| Summary: | Abstract
The concept Efficient Market Hypothesis is becoming a very attractive subject in the field of empirical finance. This paper aims at investigating the efficiency of the Jordanian stock market, Stock Exchange at the weak level. It intends to test empirically the applicability of the random walk hypothesis to the Amman Stock Market for the period of time starting January 2000 and ending December 2006. For the purpose of this study daily index returns time series were examined by a number of statistical tests; autocorrelation test, the runs test, the unit root test and the variance ratio test. The results of the study for one day lag suggests daily interdependency between neighbouring share prices and these results are confirmed when testing higher order daily lags. Overall, the empirical results reveal that the Amman Stock Exchange is inefficient at the weak- level.
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