Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia
This paper analyses the strong-form efficiency of the capital market in Jordan by evaluating the performance of mutual funds over the period from 2011 to 2016, and compare it with the situation in Saudi Arabia using the Jensen modelling techniques. These tests were applied on monthly data. Results...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
University of Miskolc
2020-12-01
|
| Series: | Theory, Methodology, Practice |
| Subjects: | |
| Online Access: | https://ojs.uni-miskolc.hu/index.php/tmp/article/view/1752 |
| _version_ | 1797648446357766144 |
|---|---|
| author | Mazen Bustanji |
| author_facet | Mazen Bustanji |
| author_sort | Mazen Bustanji |
| collection | DOAJ |
| description |
This paper analyses the strong-form efficiency of the capital market in Jordan by evaluating the performance of mutual funds over the period from 2011 to 2016, and compare it with the situation in Saudi Arabia using the Jensen modelling techniques. These tests were applied on monthly data. Results from the study show that there is no evidence of the strong-form of efficiency in either the Amman Stock Exchange or in the Saudi Arabia capital market. Therefore, investors in the Amman Stock Exchange and Saudi Arabia capital market cannot predict stocks prices or returns in the short term; with regard to firms, it suggests that the securities of firms cannot outperform the market and present market price is to a certain extent a true reflection of the present situation of their securities, in addition there is lack number availability of the mutual funds in Jordan.
|
| first_indexed | 2024-03-11T15:32:15Z |
| format | Article |
| id | doaj.art-8f01934c8fcb4e69ab248ade4fc5d508 |
| institution | Directory Open Access Journal |
| issn | 1589-3413 2415-9883 |
| language | English |
| last_indexed | 2024-03-11T15:32:15Z |
| publishDate | 2020-12-01 |
| publisher | University of Miskolc |
| record_format | Article |
| series | Theory, Methodology, Practice |
| spelling | doaj.art-8f01934c8fcb4e69ab248ade4fc5d5082023-10-27T04:13:07ZengUniversity of MiskolcTheory, Methodology, Practice1589-34132415-98832020-12-01160210.18096/TMP.2020.02.01Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi ArabiaMazen Bustanji0University of Miskolc This paper analyses the strong-form efficiency of the capital market in Jordan by evaluating the performance of mutual funds over the period from 2011 to 2016, and compare it with the situation in Saudi Arabia using the Jensen modelling techniques. These tests were applied on monthly data. Results from the study show that there is no evidence of the strong-form of efficiency in either the Amman Stock Exchange or in the Saudi Arabia capital market. Therefore, investors in the Amman Stock Exchange and Saudi Arabia capital market cannot predict stocks prices or returns in the short term; with regard to firms, it suggests that the securities of firms cannot outperform the market and present market price is to a certain extent a true reflection of the present situation of their securities, in addition there is lack number availability of the mutual funds in Jordan. https://ojs.uni-miskolc.hu/index.php/tmp/article/view/1752Efficient market hypothesisAmman Stock ExchangeJensen modelling techniqueStrong-form efficiencyAbnormal Rate of Return |
| spellingShingle | Mazen Bustanji Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia Theory, Methodology, Practice Efficient market hypothesis Amman Stock Exchange Jensen modelling technique Strong-form efficiency Abnormal Rate of Return |
| title | Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia |
| title_full | Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia |
| title_fullStr | Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia |
| title_full_unstemmed | Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia |
| title_short | Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia |
| title_sort | testing strong form market efficiency of jordanian capital market performance appraisal of mutual funds a comparable study case with saudi arabia |
| topic | Efficient market hypothesis Amman Stock Exchange Jensen modelling technique Strong-form efficiency Abnormal Rate of Return |
| url | https://ojs.uni-miskolc.hu/index.php/tmp/article/view/1752 |
| work_keys_str_mv | AT mazenbustanji testingstrongformmarketefficiencyofjordaniancapitalmarketperformanceappraisalofmutualfundsacomparablestudycasewithsaudiarabia |