scholarly journals Does Portfolio’s Beta in Financial Market Affected by Diversification? Evidence from Amman Stock Exchange

2016 ◽  
Vol 11 (11) ◽  
pp. 101
Author(s):  
Ali Matar
Keyword(s):  
Financial Market ◽  
Stock Exchange ◽  
Rate Of Return ◽  
Pricing Model ◽  
Monthly Data ◽  
Capital Assets ◽  
Amman Stock Exchange ◽  
The Individual ◽  
Portfolio Size ◽  
Portfolio Selection Model

This study’s goal is to examine the effect of diversification on the portfolio’s beta for stocks of companies listed on the Amman Stock exchange (ASE) return over the 2005-2014 period. Moreover, it will show if the investors can reduce beta in their portfolios by diversification. Monthly data, Capital Assets Pricing Model (CAPM) and portfolio selection model were applied to measure the risk and required rate of return and compare it with the realized rate of return. The results suggest evidence that diversification can only affect unsystematic risk leaving systematic risk unaffected. The regression analysis indicates the existence of a significant relationship between the individual stock <em>β</em> and the portfolio <em>β</em>. The results didn’t approve any relationship between the portfolio size and portfolio <em>β</em>, and the portfolio <em>β</em> is affected only by the individual stock <em>β</em> value.

scholarly journals Testing Strong Form Market Efficiency of Jordanian Capital Market: Performance Appraisal of Mutual Funds a comparable study case with Saudi Arabia

2020 ◽  
Vol 16 (2) ◽  
pp. 3-15
Author(s):  
Mazen Bustanji
Keyword(s):  
Saudi Arabia ◽  
Performance Appraisal ◽  
Mutual Funds ◽  
Capital Market ◽  
Stock Exchange ◽  
Market Price ◽  
Strong Form ◽  
Monthly Data ◽  
Amman Stock Exchange ◽  
Modelling Techniques

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.

scholarly journals Form the Optimal Investment Portfolio Applied Study in the Jordanian Banking Sector (2013-2017)

2020 ◽  
Vol 13 (3) ◽  
pp. 79
Author(s):  
Suleiman Daood Al-Oshaibat ◽  
Daood Al-Oshaibat
Keyword(s):  
Commercial Banks ◽  
Banking Sector ◽  
Stock Exchange ◽  
Optimal Investment ◽  
Effective Rate ◽  
Rate Of Return ◽  
Investment Portfolio ◽  
Applied Study ◽  
Securities Analysts ◽  
Amman Stock Exchange

The study aimed to form the optimal investment portfolio in the Jordanian banking sector. The research covered a period (2013-2017) and the sample of the study was selected from its community of Jordanian banks listed on the Amman Stock Exchange, consisting of (15) working banks for which the necessary data are available to study. The importance of the research lies in the formation of a thought and methodology that can be applied and utilized by investors and securities analysts in the management of their investment portfolio. The study shows that the effective rate of return is higher than the required rate of return in the Jordanian commercial banks. This indicates that the commercial banks have succeeded in their estimates of the required or actual rate of return for the optimal investment portfolio banks. the correlation matrix between returns on each bank in the investment portfolio is mostly low, which confirms that the investment portfolio of Jordanian banks is efficient, as Markowitz stressed on his focus on the correlation coefficient between returns and its impact on the return and risk of the optimal investment portfolio that achieve the highest return at a certain level of risk.

scholarly journals Effect of Liberalization of Amman Stock Market on the Prices Fluctuation for the Period (1994-2015)

2018 ◽  
Vol 10 (1) ◽  
pp. 274
Author(s):  
Ahmad Abdalla Alrafaya
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Market Liberalization ◽  
Price Changes ◽  
Stock Market Liberalization ◽  
Amman Stock Exchange ◽  
The Relationship ◽  
Second Period ◽  
Speed And Accuracy

This study aimed to identify the relationship between the information and fluctuations in stocks return following the liberalization process of financial market, and illustrate the effect of liberalization of Amman Stock Exchange on price fluctuations, and the trend of this influence. To achieve this goal the researcher depended on the data of the daily stocks returns for Amman stock market for the period (1994-2015).The study was based on the analytical descriptive method. The period from which the financial data were taken was divided into two periods: first, the pre-liberalization of the financial market (1994-2000), and the second period, the post-liberalization which extended from 2001 to 2015, the appropriate statistical analysis was conducted through (e-views) program, and using the (GARCH) model.The results showed that there is an effect of the stock market liberalization on the fluctuations pattern in the Jordanian Stock Exchange, the speed and accuracy of information flow to the market has increased after stock market liberalization, it also appeared that there are some events and factors such as wars and catastrophes which lead to strong and illogical fluctuations in the stock market, and that the variation in price changes before the liberalization period was integrated variation which indicates that news have perpetual influences on price changes.

scholarly journals Impact of Engineering Financial Market and Using Financial Derivatives on Financial Analysts Interest: Empirical Study from Amman Stock Exchange –Jordan

2016 ◽  
Vol 8 (9) ◽  
pp. 208
Author(s):  
Mohammad Khalid Al Attar
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Random Sampling ◽  
Stock Exchange ◽  
Financial Analysts ◽  
Simple Random Sampling ◽  
Financial Derivatives ◽  
Amman Stock Exchange ◽  
Strongly Agree

This study aimed to measure the level of Amman Financial Market efficiency and show the role of financial derivatives in improving Markets’ efficiency. Generally, financial derivatives are considered an essential source of financing an economy. In addition, diversification of financial derivatives’ instruments which are circulated in a stock market as the main standard of measuring its development and efficiency, called as engineering. For the purpose of achieving the objectives of the study, the researcher selected some of the financial analysts’ that represent institutions in Amman Stock Exchange in Jordan, to serve as the sample of the study. Simple Random Sampling was used to select the sample to represent the whole population. Furthermore, the researcher developed a questionnaire to judge the respondents opinions and test the validity of the hypotheses. The questionnaire was designed by using a five -point -Likert scale (strongly agree, agree, neutral, disagree, strongly disagree). In total, the researcher distributed 100 questionnaires and 85 were returned from the selected sample of the study (85% from the whole questionnaires distributed). Results of the study showed that there was a strong bond between financial derivatives and efficiency of Amman Stock Market. Moreover, findings indicated that there is a statistical significant sign between financial analysts’ interests in returns of financial derivatives with their tools and efficiency of these markets.

scholarly journals Validity of Capital Assets Pricing Model (CAPM) (Empirical Evidences from Amman Stock Exchange)

2021 ◽  
Vol 8 (1) ◽  
pp. 207
Author(s):  
Ahmad Alqisie ◽  
Talal Alqurran
Keyword(s):  
Risk Premium ◽  
Stock Exchange ◽  
Conclusive Evidence ◽  
Average Risk ◽  
Pricing Model ◽  
Expected Return ◽  
Risk And Return ◽  
Amman Stock Exchange ◽  
Beta Coefficient ◽  
The Relationship

The purpose of this study is to test the validity of CAPM in Amman Stock Exchange (ASE) during the period (2010 – 2014), which was divided into three sub periods. We used monthly returns of 60 stocks of Jordanian companies listed in ASE. Black, Jensen and Scholes (1972) and Fama and MacBeth (1973) methods were used to test the CAPM in different study sub-periods. The analysis results showed that higher risk (beta) is not associated with higher levels of return, which violated the CAPM assumption. Results of the study leads to contradict the theory’s assumption that beta coefficient is a good toll to predict the relationship between risk and return; hence the beta coefficient of some portfolios in the three sub periods was not significant. In addition, the results of testing SML violated the CAPM assumption in the three sub periods that, the slope should be equal to the average risk premium. Finally, tests of nonlinearity of the relationship between return and betas validated the CAPM hypothesis, that the expected return-beta relationship is linear. Depending on the above results, we couldn’t find conclusive evidence in support of CAPM in ASE.

scholarly journals The Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties and Applications in Jordan

2018 ◽  
Vol 12 (11) ◽  
pp. 330
Author(s):  
Ibrahim Alshomaly ◽  
Ra’ed Masa’deh
Keyword(s):  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Capital Assets ◽  
Systematic Risks ◽  
Pricing Theory

This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000) to Q4 (2016), using published information obtained from Amman stock exchange (ASE), these models were designed to measure the cost of capital using the coefficient of systematic risk factor, that used in the valuation of capital assets. We reviewed the most important similarities and differences between the two models out of sectors analysis. The study showed, first, there are some differences between the two models in term of the amount of systematic risk that can be eliminated by diversification in the three sectors. Second, the application of APT model showed that large percentage of risk can be eliminated by diversification more than CAPM model. Third, the banking sector in Jordan faces more systematic risks than other sectors.

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