行业指数之间的动态联系与金融市场趋势分析：2000-2020 年安曼证券交易所案例

International Journal of Academic Research in Accounting, Finance and Management Sciences Pub Date : 2023-11-28 DOI:10.6007/ijarafms/v13-i4/19511

Zaid Walid Tahat, A. Mishra

{"title":"行业指数之间的动态联系与金融市场趋势分析：2000-2020 年安曼证券交易所案例","authors":"Zaid Walid Tahat, A. Mishra","doi":"10.6007/ijarafms/v13-i4/19511","DOIUrl":null,"url":null,"abstract":"This study investigates the dynamic linkages among the financial, industrial, services, and general sector indices of the Amman Stock Exchange (ASE) from 2000-2020 using a VAR model. The analysis provides insights into the interdependence among sectors and evaluates the model's efficacy in explaining sector index variations. The results indicate significant dynamic linkages among sector indices, with the VAR model demonstrating robust explanatory power based on high R-squared values and significant F-statistics. Impulse response analysis shows varied lagged effects in the transmission of shocks between sectors. The study recommends investors consider past performance of related sectors in investment decisions, while policymakers can utilize the identified interconnections to promote a stable financial market.","PeriodicalId":333103,"journal":{"name":"International Journal of Academic Research in Accounting, Finance and Management Sciences","volume":"242 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Dynamic Linkages among Sector Indices and Analysis of Financial Market Trends: The Case of the Amman Stock Exchange from 2000-2020\",\"authors\":\"Zaid Walid Tahat, A. Mishra\",\"doi\":\"10.6007/ijarafms/v13-i4/19511\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study investigates the dynamic linkages among the financial, industrial, services, and general sector indices of the Amman Stock Exchange (ASE) from 2000-2020 using a VAR model. The analysis provides insights into the interdependence among sectors and evaluates the model's efficacy in explaining sector index variations. The results indicate significant dynamic linkages among sector indices, with the VAR model demonstrating robust explanatory power based on high R-squared values and significant F-statistics. Impulse response analysis shows varied lagged effects in the transmission of shocks between sectors. The study recommends investors consider past performance of related sectors in investment decisions, while policymakers can utilize the identified interconnections to promote a stable financial market.\",\"PeriodicalId\":333103,\"journal\":{\"name\":\"International Journal of Academic Research in Accounting, Finance and Management Sciences\",\"volume\":\"242 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-11-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Academic Research in Accounting, Finance and Management Sciences\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.6007/ijarafms/v13-i4/19511\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Academic Research in Accounting, Finance and Management Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.6007/ijarafms/v13-i4/19511","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

本研究使用 VAR 模型研究了 2000-2020 年安曼证券交易所（ASE）金融、工业、服务和综合行业指数之间的动态联系。分析深入揭示了各行业之间的相互依存关系，并评估了该模型在解释行业指数变化方面的有效性。结果表明，各行业指数之间存在重要的动态联系，基于高 R 平方值和显著的 F 统计量，VAR 模型显示出强大的解释能力。脉冲响应分析表明，冲击在行业间的传递具有不同的滞后效应。研究建议投资者在做出投资决策时考虑相关行业的过往表现，而政策制定者则可利用已发现的相互联系促进金融市场的稳定。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

The Dynamic Linkages among Sector Indices and Analysis of Financial Market Trends: The Case of the Amman Stock Exchange from 2000-2020

This study investigates the dynamic linkages among the financial, industrial, services, and general sector indices of the Amman Stock Exchange (ASE) from 2000-2020 using a VAR model. The analysis provides insights into the interdependence among sectors and evaluates the model's efficacy in explaining sector index variations. The results indicate significant dynamic linkages among sector indices, with the VAR model demonstrating robust explanatory power based on high R-squared values and significant F-statistics. Impulse response analysis shows varied lagged effects in the transmission of shocks between sectors. The study recommends investors consider past performance of related sectors in investment decisions, while policymakers can utilize the identified interconnections to promote a stable financial market.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

International Journal of Academic Research in Accounting, Finance and Management Sciences

自引率

0.00%

发文量