The Impact of Inflation on Stock Returns and Conditional Volatilities of the Securities Markets (Applied Evidence from the Hashemite Kingdom of Jordan: (1998 – 2015)

Authors

  • ا. فاطمة صالح عبد المجيد الهمشري
  • أ. وسام سلامة الزبون

Keywords:

Inflation, Financial Market Returns, Conditional Volatility, GARCH (1, 1) Model, EGARCH Model.

Abstract

This study aims at identifying the impact of inflation on stock returns and conditional volatilities in Amman Stock Exchange during the period (1998-2015).

The descriptive analytical approach is used to achieve the aim of this study by using the monthly series data during the period (1998-2015) and analyzing them through using (1,1) the Generalized Autoregressive Conditional Heteroscedastic (GARCH) and (EGARCH) models.

Based on GARCH (1, 1) and EGARCH models, the results shows that there is a positive statistically significant effect of the inflation on both stock returns and conditional volatility at Amman Stock Exchange, which indicates that the conditional volatilities contribute effectively in making a change on stock returns in light of inflation.

The study recommends that investors at Amman Stock Exchange should pay attention and analyze the fluctuation of the shares’ returns at the stock market as a high-risk index and its relation to inflation before building the investment portfolios to ensure the Diversification Strategy of the portfolio.

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Published

2018-02-21

How to Cite

عبد المجيد الهمشري ا. ف. ص., & الزبون أ. و. س. (2018). The Impact of Inflation on Stock Returns and Conditional Volatilities of the Securities Markets (Applied Evidence from the Hashemite Kingdom of Jordan: (1998 – 2015). Al-Quds Open University for Administrative & Economic Research & Studies, 2(8). Retrieved from https://journals.qou.edu/index.php/eqtsadia/article/view/1691

Issue

Vol. 2 No. 8 (2017): المجلد الثاني. ع(8) ربيع أول 1439هـ/كانون أول 2017م

Section

الأبحاث

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