Testing the risk-return tradeoff in the emerging market of Jordan: what role for financial crises?
by Hisham Al Refai; Mohamed Abdelaziz Eissa
Afro-Asian J. of Finance and Accounting (AAJFA), Vol. 6, No. 2, 2016

Abstract: This study investigates the risk-return relationship at sector level in the emerging market of Jordan (ASE) over the period 1999-2014. The results of an unconditional test with a structural breakpoint show that the relationship is not stable, owing to the effect of the recent global financial crisis (GFC). The conditional test proposed by Pettengill et al. (1995) shows that after the GFC, lower risk is compensated for by a lower return. This indicates that there are more risk-averse investors than risk-takers, which does not help to boost the overall market performance. The implications for diversification strategies suggest that, unless higher risk is rewarded by higher return, regional and international investors will not be encouraged to divert their channels of capital to the ASE. The results also carry signs warning policymakers after the recent market improvements, which were intended to attracting FDI inflows. More incentives are required to encourage risk-takers to incline their capital to flow toward the ASE market.

Online publication date: Fri, 24-Jun-2016

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 Afro-Asian J. of Finance and Accounting (AAJFA):
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