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AuthorAl Refai, Hisham
AuthorEissa, Mohamed Abdelaziz
Available date2021-06-24T06:47:08Z
Publication Date2016
Publication NameAfro-Asian Journal of Finance and Accounting
ResourceScopus
ISSN17516447
URIhttp://dx.doi.org/10.1504/AAJFA.2016.077340
URIhttp://hdl.handle.net/10576/20834
AbstractThis study investigates the risk-return relationship at sector level in the emerging market of Jordan (ASE) over the period 1999-2014. The results of an unconditional test with a structural breakpoint show that the relationship is not stable, owing to the effect of the recent global financial crisis (GFC). The conditional test proposed by Pettengill et al. (1995) shows that after the GFC, lower risk is compensated for by a lower return. This indicates that there are more risk-averse investors than risk-takers, which does not help to boost the overall market performance. The implications for diversification strategies suggest that, unless higher risk is rewarded by higher return, regional and international investors will not be encouraged to divert their channels of capital to the ASE. The results also carry signs warning policymakers after the recent market improvements, which were intended to attracting FDI inflows. More incentives are required to encourage risk-takers to incline their capital to flow toward the ASE market. Copyright 2016 Inderscience Enterprises Ltd.
Languageen
PublisherInderscience Publishers
SubjectConditional CAPM
Financial crisis
Jordan stock exchange market
Pettengill et al.'s (1995) model
Risk-return tradeoff
TitleTesting the risk-return tradeoff in the emerging market of Jordan: What role for financial crises?
TypeArticle
Pagination183-198
Issue Number2
Volume Number6
dc.accessType Abstract Only


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