Technical analysis and the stochastic properties of the Jordanian stock market index return

Atmeh, Muhannad; Dobbs, Ian M.

doi:10.1108/10867370610683914

Cited by 12 publications

(5 citation statements)

References 47 publications

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“…The study reported strong positive relationship between turnover and past returns. Atmeh and Dobbs (2006) investigated the performance of moving average trading rules in the Jordanian stock market and found that technical trading rules can help to predict market movements. Moreover, Al-Khouri and Ajlouni 2007reported that the price-limit technique was effective in reducing the volatility in the Amman stock exchange.…”

Section: Review Of Literaturementioning

confidence: 99%

Relationship between trading volume, stock return and return volatility: A case of Nepalese insurance companies

Acharya¹,

Thapa

2019

Nep. J. Insur. Soc. Sec.

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This study examines the factors affecting the share price of Nepalese non-life insurance companies. The knowledge of the factors and their possible impact on share prices is highly appreciable as it would help investors make wise investment decisions and enable firms to enhance their market value. This study is based on secondary data of 15 non-life insurance companies which are listed in Nepal stock exchange. The study covers seven years period from the fiscal year 2011/12 to 2017/18. The result shows that firm size is positively related to market price of share and price earnings ratio. It indicates that larger firm size leads to increase in market price of share and price earnings ratio. However, the study shows that inflation is negatively related to market price of share and price earnings ratio. The study also shows that dividend per share and return on assets are negatively related to the market price of share and price earnings ratio. Similarly, earnings per share have negative relationship with market price of share and price earnings ratio. The study concludes that the increase in return on assets and earnings per shares do not explain the variation in stock price in Nepalese non-life insurance companies. Nepal is one of the emerging economy; the determinants identified may provide knowledge to the potential investors about the key factors affecting share prices in the country and accordingly assist them in optimizing their investment strategy.

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Section: Review Of Literaturementioning

confidence: 99%

Relationship between trading volume, stock return and return volatility: A case of Nepalese insurance companies

Acharya¹,

Thapa

2019

Nep. J. Insur. Soc. Sec.

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“…Furthermore, Atmeh and Dobbs (2006) Patel et al (2015) compared four prediction models to forecast the trend direction in the Indian financial markets: random forest, Support Vector Machine (SVM), Artificial Neural Network (ANN), and Naive-Bayes. The results recommended that random forest beats the three other expectation models on overall performance.…”

Section: Studies Conducted In the Emerging Marketsmentioning

confidence: 99%

The Impact of Technical Analysis on Stock Returns in an Emerging Capital Markets (ECM’s) Country: Theoretical and Empirical Study

Masry¹

2017

IJEF

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Technical analysis, even if deliberated by some as purely conjecture, is still generally acknowledged as additional information to main brokerage companies. There are existent two reasons for the achievement of technical analysis and why its success is still debated: (1) stock return predictability stems from efficient markets that can be analysed by time-varying equilibrium returns, and (2) stock return predictability forms from prices wandering apart from their fundamental valuations. Fundamentally, both explanations show some kind of overall market inefficiency where investors are capable of exploiting. Therefore, technical analysis derived its importance from its ability to train investors to take investment decision based on historical trends of securities prices. To help find answers to the issues raised and to structure the study, the following general research question is set: is it possible for technical analysis to achieve abnormal returns in an Emerging Capital Markets (ECM's) country, more specifically, the Egyptian Stock Exchange? If yes, hence it could be possibly used to help individual investors to take effective investment decision. By means of theoretical and empirical investigation, this study provides significant evidences that technical analysis achieved abnormal returns in inefficiency periods. This study suggests that simple trading rules, more specifically; the simple moving average beat the standard buy-and-hold strategy for the Egyptian stock exchange.

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“…Al-Khouri and Ajlouni 30 reported that the price-limit technique was effective in reducing the volatility in the Amman stock exchange. Al Janab 31 33 investigated the performance of moving average trading rules in the Jordanian stock market and found that technical trading rules can help predict market movements. Hassan and Yu 34 reported that in spite of the recent extreme fluctuations of the MENA stock markets, there was no strong evidence of rational speculative bubbles of either domestic or US-based investors.…”

Section: Review Of the Related Literaturementioning

confidence: 99%

The impact of trading volume on stock price volatility in the Arab economy

Sabri

2008

J Deriv Hedge Funds

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This study intends to examine the price-volume movements in the Arab stock markets, in order to determine the impact of changes in trade volume on the volatility of stock prices as expressed by the unified AMF stock price index. The research covers a sample of eight out of the 15 Arab stock markets included in the Arab Monetary Fund database, using monthly data from 1994 to 2006. The study found that there is an increase in both trading volume and stock price volatility, which may be considered a recent phenomenon in the majority of the Arab stock markets. The study also found that the volume-stock price movements are significantly integrated for all selected markets, while the highest (to lowest) correlation coefficient between volume and stock price movement was found in the Saudi stock market, Amman stock market, Muscat stock market, and Kuwait stock market (in that order). Finally, the correlation between volume and price movement is higher in the stock markets of the oil Arab states compared to the nonoil Arab states.

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Technical analysis and the stochastic properties of the Jordanian stock market index return

Cited by 12 publications

References 47 publications

Relationship between trading volume, stock return and return volatility: A case of Nepalese insurance companies

Relationship between trading volume, stock return and return volatility: A case of Nepalese insurance companies

The Impact of Technical Analysis on Stock Returns in an Emerging Capital Markets (ECM’s) Country: Theoretical and Empirical Study

The impact of trading volume on stock price volatility in the Arab economy

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