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Modelling Volatility of the Market Returns of Jordanian Banks: Empirical Evidence Using GARCH Framework

المصدر: المجلة العالمية للاقتصاد والأعمال
الناشر: مركز رفاد للدراسات والأبحاث
المؤلف الرئيسي: Almahadin, Hamed Ahmad (Author)
مؤلفين آخرين: Tuna, Gulcay (Co-Author)
المجلد/العدد: مج1, ع1
محكمة: نعم
الدولة: الأردن
التاريخ الميلادي: 2016
الصفحات: 1 - 14
DOI: 10.12816/0035275
ISSN: 2519-9285
رقم MD: 845788
نوع المحتوى: بحوث ومقالات
اللغة: الإنجليزية
قواعد المعلومات: EcoLink
مواضيع:
كلمات المؤلف المفتاحية:
Amman Stock Exchange Indices | Stock Returns | Volatility | GARCH | Volatility Clustering
رابط المحتوى:
صورة الغلاف QR قانون

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024 |3 10.12816/0035275 
041 |a eng 
044 |b الأردن 
100 |9 423219  |g Almahadin, Hamed Ahmad  |a Almahadin, Hamed Ahmad  |e Author 
245 |a Modelling Volatility of the Market Returns of Jordanian Banks:  |b Empirical Evidence Using GARCH Framework 
260 |b مركز رفاد للدراسات والأبحاث  |c 2016 
300 |a 1 - 14 
336 |a بحوث ومقالات  |b Article 
520 |b 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. 
653 |a الأسواق المالية  |a المصارف المالية  |a العوائد الربحية  |a عمان  |a الأردن 
692 |b Amman Stock Exchange Indices  |b Stock Returns  |b Volatility  |b GARCH  |b Volatility Clustering 
773 |4 الاقتصاد  |4 إدارة الأعمال  |6 Economics  |6 Business  |c 001  |e Global Journal Of Economics & Business  |f Global journal of economics and business  |l 001  |m مج1, ع1  |o 1793  |s المجلة العالمية للاقتصاد والأعمال  |v 001  |x 2519-9285 
700 |9 454355  |g Tuna, Gulcay  |a Tuna, Gulcay  |e Co-Author 
856 |u 1793-001-001-001.pdf 
930 |d y  |p y  |q n 
995 |a EcoLink 
999 |c 845788  |d 845788