Co-integration and causality analysis between stock market prices and their determinates in Jordan

Research output: Contribution to journalArticle

24 Citations (Scopus)

Abstract

The current study examines the short- and long-term equilibrium relationship between the stock price index (SPI) and the macroeconomic variables in Jordan. Annual time series data over the 1978-2010 period for industrial production (IP), money supply (M2), exchange rate (EX), and discount rate (DR) were used. The ADF, bound testing approach, CUSUM, and CUSUMQ tests were applied to test the stationary and co-integration among variables. The results suggest the existence of a long-term equilibrium relationship between SPI and the macroeconomic variables (i.e., IP, M2, EX, and DR).

Original languageEnglish
Pages (from-to)508-514
Number of pages7
JournalEconomic Modelling
Volume35
DOIs
Publication statusPublished - 01 Sep 2013

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Price index
Stock market
Stock prices
Discount rate
Market price
Cointegration
Jordan
Industrial production
Macroeconomic variables
Causality
Cumulative sum
Money supply
Bounds testing
Time series data
Exchange rates

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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Co-integration and causality analysis between stock market prices and their determinates in Jordan. / A. Bekhet, Hussain; Matar, Ali.

In: Economic Modelling, Vol. 35, 01.09.2013, p. 508-514.

Research output: Contribution to journalArticle

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