The Dynamic Linkages among Sector Indices: The case of the Amman Stock Exchange in the period of 2000-2020

Atul Mishra; Zaid Tahat

doi:10.6007/IJARAFMS/v13-i4/19511

The Dynamic Linkages among Sector Indices: The case of the Amman Stock Exchange in the period of 2000-2020

Atul Mishra, Zaid Tahat

Plymouth Business School

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Abstract

This study investigates the dynamic linkages among the financial, industrial, services, and general sector indices of the Amman Stock Exchange (ASE) from 2000-2020 using a VAR model. The analysis provides insights into the interdependence among sectors and evaluates the model's efficacy in explaining sector index variations. The results indicate significant dynamic linkages among sector indices, with the VAR model demonstrating robust explanatory power based on high R-squared values and significant F-statistics. Impulse response analysis shows varied lagged effects in the transmission of shocks between sectors. The study recommends investors consider past performance of related sectors in investment decisions, while policymakers can utilize the identified interconnections to promote a stable financial market.

Original language	English
Pages (from-to)	1-17
Journal	International Journal of Academic Research in Accounting, Finance and Management Sciences
Volume	13
Issue number	4
DOIs	https://doi.org/10.6007/IJARAFMS/v13-i4/19511
Publication status	Published - 28 Nov 2023

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10.6007/IJARAFMS/v13-i4/19511

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The Dynamic Linkages among Sector Indices: The case of the Amman Stock Exchange in the period of 2000-2020
Tahat, Z. (Author), Mishra, A. (Director of Studies (First Supervisor)) & Nawaz, T. (Other Supervisor), 2024
Student thesis: PhD

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The Dynamic Linkages among Sector Indices: The case of the Amman Stock Exchange in the period of 2000-2020

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The Dynamic Linkages among Sector Indices: The case of the Amman Stock Exchange in the period of 2000-2020

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