The use of unit root and Box-Jenkins in Amman Stock Exchange (ASE)

Abstract

This paper aims at examining the level of the efficiency of Amman Stock Exchange (ASE) on weak form, semi-strong form and strong form levels from January 2008 to December 2014. The paper concludes that there is a significant prediction performance of all ASE indices of the Jordanian market by using Box-Jenkins estimation. This result was confirmed by unit-root test since the return series for the five Jordanian indices failed to prove unit root.