Publication:
The influence of global financial crisis on Jordanian equity market: VECM approach

dc.citedby9
dc.contributor.authorBekhet H.A.en_US
dc.contributor.authorMatar A.en_US
dc.contributor.authorid37100908800en_US
dc.contributor.authorid56741953000en_US
dc.date.accessioned2023-12-28T04:12:45Z
dc.date.available2023-12-28T04:12:45Z
dc.date.issued2013
dc.description.abstractThe 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.en_US
dc.description.natureFinalen_US
dc.identifier.doi10.1504/IJMEF.2013.059946
dc.identifier.epage301
dc.identifier.issue4
dc.identifier.scopus2-s2.0-84896993721
dc.identifier.spage285
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84896993721&doi=10.1504%2fIJMEF.2013.059946&partnerID=40&md5=50c70399fe042369556e7c4990ca8418
dc.identifier.urihttps://irepository.uniten.edu.my/handle/123456789/29361
dc.identifier.volume6
dc.pagecount16
dc.publisherInderscience Publishersen_US
dc.sourceScopus
dc.sourcetitleInternational Journal of Monetary Economics and Finance
dc.subjectEquity market
dc.subjectGlobal financial crisis
dc.subjectGranger causality
dc.subjectJordan
dc.subjectStock price index
dc.subjectVECM
dc.subjectVector error correction model
dc.titleThe influence of global financial crisis on Jordanian equity market: VECM approachen_US
dc.typeArticleen_US
dspace.entity.typePublication
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