Modelling Volatility of the Market Returns of Jordanian Banks: Empirical Evidence Using Garch Framework
| المصدر: | وقائع أعمال المؤتمر العلمي الدولي الحادي عشر: التحولات المالية والمصرفية - الواقع والآفاق المستقبلية |
|---|---|
| الناشر: | جامعة الزرقاء - كلية الاقتصاد والعلوم الإدارية |
| المؤلف الرئيسي: | Almahadin, Hamed Ahmad (Author) |
| المجلد/العدد: | مج2 |
| محكمة: | نعم |
| الدولة: |
الأردن |
| التاريخ الميلادي: |
2016
|
| مكان انعقاد المؤتمر: | الزرقاء |
| رقم المؤتمر: | 11 |
| الهيئة المسؤولة: | كلية الاقتصاد والعلوم الإدارية - جامعة الزرقاء |
| الشهر: | مايو |
| الصفحات: | 409 - 420 |
| رقم MD: | 795146 |
| نوع المحتوى: | بحوث المؤتمرات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| رابط المحتوى: |
الناشر لهذه المادة لم يسمح بإتاحتها. |
| المستخلص: |
This paper investigates the intrinsic nature of volatility in three of the core indices and the Jordanian traditional banks individually that are traded in Amman stock exchange (ASE). Daily stock market returns are used during the period beginning on 3rd January 2010 until 31st December 2015. For this end, Generalized Autoregressive Heteroscedasticity (GARCH) and its extension GARCH-M models have been applied. The results show that majority of the return series of the Jordanian commercial banks have negative skewness, relatively high kurtosis and provide evidence for departure from normal distribution. The estimated models found evidence for existence of volatility clustering which is well captured within the GARCH framework. The results obtained from the GARCH-M model are strongly consistent with the positive relationship between risk and return. The findings also suggest that stocks of the banking sector provide a larger risk premium for investors compared with the whole market and the financial sector, since the estimated risk premium parameter was the highest one for the banking sector index relatively. |
|---|
عناصر مشابهة
-
Modelling Volatility of the Market Returns of Jordanian Banks: Empirical Evidence Using GARCH Framework
بواسطة: Almahadin, Hamed Ahmad منشور: (2016) -
Modeling Volatility in the Stock Markets Using GARCH Models: Applied to Carbon, Water and Commodity Markets
بواسطة: Kalafate, Nadia منشور: (2023) -
The Effect of Foreign Portfolio Trading on Stock Market Return and Volatility: Evidence from Amman Stock Exchange
بواسطة: أبو الهيجاء، وصفية منشور: (2018) -
A Bivariate VAR-GARCH Approach to Investigate Volatility Spillovers between Stock Market Returns and Exchange Rate Fluctuations : Evidence from Sudan
بواسطة: Abdalla, Suliman Zakaria Suliman منشور: (2013) -
Volatility Modeling of Islamic Stock Indices Returns using GARCH Models
بواسطة: Ahmed, Sahnoune Sid منشور: (2019)
