Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach
This paper aims at examining the probable equilibrium and dynamic relations between Palestine Stock Exchange (PEX) and Amman Stock Exchange (ASE). Within the framework of international trade theories, this study employs Engle-Granger Cointegration procedure (1987) as an estimation model involving mo...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Canadian Center of Science and Education
2013
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| Online Access: | http://psasir.upm.edu.my/id/eprint/28278/ http://psasir.upm.edu.my/id/eprint/28278/1/Examining%20relationship%20between%20Palestine%20stock%20exchange%20and%20Amman%20stock%20exchange.pdf |
| _version_ | 1848846073021333504 |
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| author | Abdul Hadi, Abdul Razak Hamad, Shadi Ali Yahya, Mohamed Hisham Iqbal, Tahir |
| author_facet | Abdul Hadi, Abdul Razak Hamad, Shadi Ali Yahya, Mohamed Hisham Iqbal, Tahir |
| author_sort | Abdul Hadi, Abdul Razak |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This paper aims at examining the probable equilibrium and dynamic relations between Palestine Stock Exchange (PEX) and Amman Stock Exchange (ASE). Within the framework of international trade theories, this study employs Engle-Granger Cointegration procedure (1987) as an estimation model involving monthly time series data from 1997 through 2011. The empirical results show that there is a significant equilibrium relationship between PEX and ASE, but fail to establish empirical evidence on dynamic relations between the two stock markets using Granger Causality tests. However, analysis of dynamic interactions during the post-sample period via Impulse-Response Functions and Variance Decomposition suggest that changes in ASE index do influence the performance of PEX. |
| first_indexed | 2025-11-15T08:56:54Z |
| format | Article |
| id | upm-28278 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:56:54Z |
| publishDate | 2013 |
| publisher | Canadian Center of Science and Education |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-282782015-09-10T06:25:51Z http://psasir.upm.edu.my/id/eprint/28278/ Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach Abdul Hadi, Abdul Razak Hamad, Shadi Ali Yahya, Mohamed Hisham Iqbal, Tahir This paper aims at examining the probable equilibrium and dynamic relations between Palestine Stock Exchange (PEX) and Amman Stock Exchange (ASE). Within the framework of international trade theories, this study employs Engle-Granger Cointegration procedure (1987) as an estimation model involving monthly time series data from 1997 through 2011. The empirical results show that there is a significant equilibrium relationship between PEX and ASE, but fail to establish empirical evidence on dynamic relations between the two stock markets using Granger Causality tests. However, analysis of dynamic interactions during the post-sample period via Impulse-Response Functions and Variance Decomposition suggest that changes in ASE index do influence the performance of PEX. Canadian Center of Science and Education 2013 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28278/1/Examining%20relationship%20between%20Palestine%20stock%20exchange%20and%20Amman%20stock%20exchange.pdf Abdul Hadi, Abdul Razak and Hamad, Shadi Ali and Yahya, Mohamed Hisham and Iqbal, Tahir (2013) Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach. International Journal of Business and Management, 8 (7). pp. 133-145. ISSN 1833-3850; ESSN: 1833-8119 http://www.ccsenet.org/journal/index.php/ijbm/article/view/23008 10.5539/ijbm.v8n7p133 |
| spellingShingle | Abdul Hadi, Abdul Razak Hamad, Shadi Ali Yahya, Mohamed Hisham Iqbal, Tahir Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach |
| title | Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach |
| title_full | Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach |
| title_fullStr | Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach |
| title_full_unstemmed | Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach |
| title_short | Examining relationship between Palestine stock exchange and Amman stock exchange-cointegration approach |
| title_sort | examining relationship between palestine stock exchange and amman stock exchange-cointegration approach |
| url | http://psasir.upm.edu.my/id/eprint/28278/ http://psasir.upm.edu.my/id/eprint/28278/ http://psasir.upm.edu.my/id/eprint/28278/ http://psasir.upm.edu.my/id/eprint/28278/1/Examining%20relationship%20between%20Palestine%20stock%20exchange%20and%20Amman%20stock%20exchange.pdf |