Impact Of Stock Indices On Basic Investment Characteristics: The Case Of Amman Stock Exchange
- Details
- Category: Department of Business Administration and marketing
- Published: Saturday, 05 May 2012 03:00
- Written by Jathal Abdul-Aziz Alsamail
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Abstract
impact of stock indices on basic investment CHARACTERISTICS: The Case of Amman Stock Exchange
Jathal Abdul-Aziz Alsamail
Mu'tah University, 2007
This study examined the differences among monthly returns of five market indices, at Amman Stock Exchange, from January 2000- September 2006. It also examined whether such difference would generate differences in basic investment characteristics (expected return, systematic risk, unsystematic risk) of the study sample, consisted of 16 stocks that had the highest trade volume in 1990 and were continuously traded through study period. The study examined other difference in basic investment characteristics of the portfolio which consisted of 16 stocks.
The results indicated no statistical significant differences among market indices that lead to difference in basic investment characteristics of individual stock or investment portfolio.
The study also examined the accuracy of the five market indices by comparing Mean Square Error term. The result suggested that Equally Weighted Index was the least biased and most accurate in the sample.