Publication: The influence of global financial crisis on Jordanian equity market: VECM approach
dc.citedby | 9 | |
dc.contributor.author | Bekhet H.A. | en_US |
dc.contributor.author | Matar A. | en_US |
dc.contributor.authorid | 37100908800 | en_US |
dc.contributor.authorid | 56741953000 | en_US |
dc.date.accessioned | 2023-12-28T04:12:45Z | |
dc.date.available | 2023-12-28T04:12:45Z | |
dc.date.issued | 2013 | |
dc.description.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. | en_US |
dc.description.nature | Final | en_US |
dc.identifier.doi | 10.1504/IJMEF.2013.059946 | |
dc.identifier.epage | 301 | |
dc.identifier.issue | 4 | |
dc.identifier.scopus | 2-s2.0-84896993721 | |
dc.identifier.spage | 285 | |
dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84896993721&doi=10.1504%2fIJMEF.2013.059946&partnerID=40&md5=50c70399fe042369556e7c4990ca8418 | |
dc.identifier.uri | https://irepository.uniten.edu.my/handle/123456789/29361 | |
dc.identifier.volume | 6 | |
dc.pagecount | 16 | |
dc.publisher | Inderscience Publishers | en_US |
dc.source | Scopus | |
dc.sourcetitle | International Journal of Monetary Economics and Finance | |
dc.subject | Equity market | |
dc.subject | Global financial crisis | |
dc.subject | Granger causality | |
dc.subject | Jordan | |
dc.subject | Stock price index | |
dc.subject | VECM | |
dc.subject | Vector error correction model | |
dc.title | The influence of global financial crisis on Jordanian equity market: VECM approach | en_US |
dc.type | Article | en_US |
dspace.entity.type | Publication |