본문 바로가기
KERD
논문KCI 등재

The Impact of Global Financial Crisis 2008 on Amman Stock Exchange

2

조회

0

다운로드

1

인용

0

참고문헌

키워드

초록

The effect of the September 2008 global financial crisis weighed heavily on stock markets around the world. The purpose of this study is to empirically investigate the impact of the crisis on Amman Stock Exchange. Event study methodology has been adopted on a period of 24 months, from January 2008 to December 2009. Monthly average abnormal returns across a sample of 52 industrial and services companies have been tested separately. The results reveal that Amman Stock Exchange experienced significant negative abnormal returns in the fourth quarter of the year 2008. However, there were no significant abnormal returns observed thereafter. This means that Amman Stock Exchange managed to overcome its adverse consequences. Since the event study tests for market efficiency, as well, the results show that Amman Stock Exchange reaction is consistent with the semistrong form of the efficient market hypothesis.

Abstract

The effect of the September 2008 global financial crisis weighed heavily on stock markets around the world. The purpose of this study is to empirically investigate the impact of the crisis on Amman Stock Exchange. Event study methodology has been adopted on a period of 24 months, from January 2008 to December 2009. Monthly average abnormal returns across a sample of 52 industrial and services companies have been tested separately. The results reveal that Amman Stock Exchange experienced significant negative abnormal returns in the fourth quarter of the year 2008. However, there were no significant abnormal returns observed thereafter. This means that Amman Stock Exchange managed to overcome its adverse consequences. Since the event study tests for market efficiency, as well, the results show that Amman Stock Exchange reaction is consistent with the semistrong form of the efficient market hypothesis.

참고문헌 (52)

  1. Aglietta, Michel, "La Crise", pp.22~31 (2008), Michalons Editions
  2. "An Overview of Leverage, AIMA Canada Strategy Paper Series No. 4" (2006)[URL]
  3. Ajlouni, Moh‘d M., "Jordanian Policy Response to the Current Global Financial Crisis", Proceedings of the 5th Conference of the Jordanian Society for Scientific Research (JSSR), pp.1~23 (2011), JSSR
  4. Ajlouni, Mohd M., "Signalling Characteristics and Information Content of Directors’ Dealings on the London Stock Exchange", Journal of Risk and Governance(JRG), 1(1), pp.1~24 (2008)
  5. "Capital Market Profile" (2010)[URL]
  6. Anaraki, Nahid Kalbasi, "The European Stock Market Impulse to the US Financial Crisis", Journal of International Business and Cultural Studies, 1, pp.1~ (2009)
  7. "Four Questions about the Financial Crisis" (2009)[URL]
  8. "The Global Saving Glut and the US Current Account Deficit" (2005)[URL]
  9. Boorman, Jack, "The Impact of the Financial Crisis on Emerging Market Economies, The Transmission Mechanism, Policy Response and Lessons", Global Meeting of the Emerging Markets Forum (2009)
  10. Bose, Prasenjit, "Global Financial Crisis: Lessons in Theory and Policy", The Marxist, 24(3), pp.1~12 (2008)
  11. Brown, Stephen, "Using Daily Stock Returns: The Case of Event Studies", Journal of Financial Economics, 14(1), pp.3~31 (1985)
  12. Brunnermeier, Markus, "Deciphering the Liquidity and Credit Crunch 2007-2008", Journal of Economic Perspectives, 23(1), pp.77~100 (2009)
  13. Bullow, Jeremy, "Multi-Market Oligopoly : Strategic Substitutes and Complements", Journal of Political Economy, 93(3), pp.488~511 (1985)
  14. Measuring Financial Market Interdependence and Assessing Possible Contagion Risk in the EMEAP Region, "Cheung, Lillian", HKMA, ~ (2008)
  15. Cheung, Yan-Leung, "East Asian Equity Markets, Financial Crises and the JapaneseCurrency", Journal of the Japanese and InternationalEconomies, 21(1), pp.138~152 (2007)
  16. Climent, Francisco, "Has 1997 Asian Crisis Increased Information Flows between International Markets", International Review of Economics and Finance, 12(1), pp.111~143 (2003)
  17. The Russian Financial Crisis: An Analysis of Trends, Causes, and Implications, "Cooper, William", United States Congressional, ~, pp.CRS Report: 98-578 (1999)
  18. Dabrowski, Marek, "The Global Financial Crisis: Causes, Anti-Crisis Policies and First Lessons", CESifo Forum, 9(4), pp.28~32 (2008)
  19. Diamond, Douglas, "Bank Runs, Deposit Insurance and Liquidity", Federal Reserve Bank of Minneapolis Quarterly Review, 24(1), pp.14~23 (2000)
  20. "The Financial Crisis of 2008" (2008)[URL]
  21. "Financial Contagion: What do We Mean? What Do We Know?" (2003)[URL]
  22. Dungey, Mardi, "Contagion in Global Equity Markets in 1998: The Effects of the Russian and LTCM Crises", The North American Journal of Economics and Finance, 18(2), pp.155~174 (2007)
  23. "Systemic Banking Crises" (2005)[URL]
  24. "“The Impacts of the Financial Crisis on ESCWA Member Countries: Challenges and Opportunities”, Working Paper No. 3" (2009)[URL]
  25. Fama, Eugene F., "Efficient Capital Markets: II", Journal of Finance, 46(5), pp.1575~1617 (1991)
  26. Fama, Eugene F., "Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance, 25(2), pp.383~417 (1970)
  27. Fama, Eugene F., "The Adjustment of Stock Prices to New Information", International Economic Review, 10(1), pp.1~21 (1969)
  28. Gklezakou, Triantafyllia, "Interdependence of the Developing Stock Markets, Before and During the Economic Crisis : The Case of South Europe", Journal of Money, Investment and Banking, 11, pp.1450~2880 (2009)
  29. Goh, Kim-Leng, "Financial Crisis and Intertemporal Linkages across the Asian-5 stock markets", Review of Quantitative Finance andAccounting, 24(4), pp.359~377 (2005)
  30. "The Asian Financial Crisis of 1997 - 1998 and the Behavior of Asian Stock Markets" (2003)[URL]
  31. "Update on the Impact of the Global Financial Crisis on Arab Countries" (2009)[URL]
  32. "“Currency Crisis: Theory and Practice with Application to Croatia”, Working Paper No. 12" (2004)[URL]
  33. Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa, "Lagoarde-Segot, Thomas", The Institute for International Integration Studies, ~, pp.Discussion Paper Series N° iiisdp114 (2005)
  34. MacKinlay, A. Craig, "Event Studies in Economics and Finance", Journal of Economic Literature, 35, pp.13~39 (1997)
  35. Markwat, Thijs, "Contagion as Domino Effect in Global Stock Markets", Journal of Banking and Finance, 33(11), pp.1996~2012 (2009)
  36. Mathur, Ike, "Contagion Effects from the 1994 Mexican Peso Crisis : Evidence from Chilean Stocks", The Financial Review, 37(1), pp.17~37 (2002)
  37. Mckeon, Ryan, "What Caused the 1987 Stock Market Crash and Lessons for The 2008 Crash", Review of Accounting and Finance, 8(2), pp.123~137 (2009)
  38. Currency Crisis and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand, "Nagayasu, Jun", International Monetary Fund, ~, pp.Working Papers No. 00 (2000), 39
  39. "Impact of the Global Economic Crisis in Arab Countries: A First Assessment" (2009)[URL]
  40. Stock Market Crisis in Developed and Emerging Markets, "Patel, Sandeep", Federal Reserve Bank of New York, ~, pp.Research Paper No. 9809 (1998)
  41. Portes, Richard, "An Analysis of Financial Crisis: Lessons for the International Financial System, In The Asian Financial Crisis: Origins, Implications & Solutions", pp.471~490 (1999), Kluewer Academic Publisher
  42. Rivlin, Paul, "The Impact of the Global Economic Crisis on the Arab World", Focus Quarterly, 3(2), pp.80~86 (2009)
  43. Saidane, Mohamed, "A New HMM Learning Algorithm for Event Studies : Empirical Evidence from the French Stock Market", Applied Economics Research Bulletin, 1(1), pp.1~10 (2008)
  44. "Arab Countries Stumble in the Face of Growing Economic Crisis" (2009)[URL]
  45. Saleem, Kashif, "International Linkage of the Russian Market and the Russian Financial Crisis : A Multivariate GARCH Analysis", Research in International Business and Finance, 23(3), pp.243~256 (2009)
  46. Spence, Randy, "Financial and Economic Crisis: Transmission Channels and Impacts", PEP Forum on the Impact of the Global Financial Crisis (2009)
  47. "A Systemic Crisis Demands Systemic Solutions" (2008)[URL]
  48. Wang, Kuan-Min, "The Stock Market Spillover Channels in the 1997 Asian Financial Crisis", International Research Journal of Finance and Economics, 26, pp.1450~2887 (2009)
  49. The Mexican Peso Crisis, "Whitt, Jr, Joseph", Federal Reserve Bank of Atlanta, ~ (1996)
  50. The Global Financial Crisis and Developing Countries, "Willem te Veldi, Dirk", Overseas Development Institute (ODI), ~ (2008)
  51. Yang, Jian, "Contagion around the October1987 Stock Market Crash", European Journal of OperationalResearch, 184(1), pp.291~310 (2008)
  52. Beyond the Border, The Tequila Effect, "Zarazaga, Carlos", Federal Reserve Bank of Dallas, ~ (1999)

관련 논문AI추천

이 간행물의 다른 논문 (3건)