Publication: The influence of global financial crisis on Jordanian equity market: VECM approach
Date
2013
Authors
Bekhet H.A.
Matar A.
Journal Title
Journal ISSN
Volume Title
Publisher
Inderscience Publishers
Abstract
The current paper attempts to analyse the causality and co-integration relationship between the global financial crisis and the general stock price index (SPI) in the Jordanian equity market for the 1978-2011 period. A vector error correction model (VECM) is utilised to test the causal relationship between SPI and its determinants [gross domestic product (GDP), money supply (M2), exchange rate (EX) and consumer price index (CPI)]. The results identify a co-integration between SPI and Jordanian macroeconomic variables indicating a long-run equilibrium relationship among them. The error-correction term coefficient has a significant negative sign pointed to the adjustment back from short-run disequilibrium to the long-run equilibrium. The Granger causality test suggests a bidirectional causal relationship between SPI and M2 in the short and long runs. In addition, the results reveal that the global financial crisis has a positive significant impact on the SPI. Copyright � 2013 Inderscience Enterprises Ltd.
Description
Keywords
Equity market , Global financial crisis , Granger causality , Jordan , Stock price index , VECM , Vector error correction model