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.
The research aims to analyze the effect of Return On Equity (ROE ), Return On Asset (ROA), Net Income (NI) and Debt to Equity (DER) on partially and simultaneously to Return Investment (RI) in property companies. Data were collected from secondary data in the financial documentation of Indonesian Capital Market Directory ( ICMD ) and also can download in the official website of the Indonesian Stock Exchange www. IDX.co.id. Data analysis was using Eviews version 7.1. The results show that: ROE, ROA, NI, and DER simultaneously significant effect on the property company’s stock return, but partially only ROE and DER variable that significantly effects on stock return.
Keywords: Return on Equity, Return on Asset, Net Income, Debt to Equity, Return Investment
Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia
