Evolving Efficiency of Amman Stock Exchange

Evolving Efficiency of Amman Stock Exchange Abstract This paper evolving efficiency of ASE. GARCH-M(1,1) approach along with state space time-varying parameters is used for period 1992-2009.ASE market show high sensitivity to past shocks and found to be weak-form inefficient, as the efficiency does not improve toward the begging of 2009 and negatively reacts to contemporaneous crises. Keywords: GARC-M(1,1),Kalman Filter, Evolving Efficiency, Amman Stock Exchange.