Price limits and stock returns volatility in Jordanian banks
by Samer A.M. Al-Rjoub, Sawsan Abutabenjeh
International Journal of Monetary Economics and Finance (IJMEF), Vol. 2, No. 2, 2009

Abstract: The main objective of the study is to show whether price limits for commercial banks in the ASE have the positive effect on the market return volatility for the period 1999-2005. GARCH and EGARCH models are used to generate variance series from bank returns. Empirical results show that there is a significant positive relationship between total number of limit hits and bank returns volatility when it is generated from GARCH model. The price limits policy in ASE does not have their positive effect in reducing bank return volatility, a result consistent with Chen (1993) and Phylaktis et al. (1999).

Online publication date: Fri, 01-May-2009

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com