The use of unit root and Box-Jenkins in Amman Stock Exchange (ASE)


This paper aims at examining the level of the efficiency of Amman Stock Exchange (ASE) on weak form, semi-strong form and strong form levels from January 2008 to December 2014. The paper concludes that there is a significant prediction performance of all ASE indices of the Jordanian market by using Box-Jenkins estimation. This result was confirmed by unit-root test since the return series for the five Jordanian indices failed to prove unit root.

DOI Code: 10.1285/i20705948v9n3p552

Keywords: Unit root; box-Jenkins; market efficiency; ASE

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