文章基本信息

标题：The use of unit root and Box-Jenkins in Amman Stock Exchange (ASE)
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作者：Al Barghouthi, Sameer ; Rehman, Ijaz Ur ; Fahmy, Sandra 等
期刊名称：Electronic Journal of Applied Statistical Analysis
电子版ISSN：2070-5948
卷号：9
期号：3
页码：552-571
语种：English
出版社：University of Salento
摘要：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.
关键词：Unit root;box-Jenkins;market efficiency;ASE