IJPAM: Volume 1, No. 4 (2002)

THE SENSITIVITY OF BETA TO THE CHOICE
OF THE MARKET INDEX IN SMALL EMERGING
MARKETS: THE CASE OF AMMAN STOCK
EXCHANGE IN JORDAN

Mahmoud A. Al-Khalialeh$^1$, Mahammad T. Al-Rajabi$^2$,
Basel M. Al-Eideh$^3$
College of Business Administration
Kuwait University
P.O. Box 5486, Safat 13055, KUWAIT
$^1$e-mail: mahkh@cas.kuniv.edu.kw
$^2$e-mail: al-rajabi@cas.kuniv.edu.kw
$^3$e-mail: basel@cas.kuniv.edu.kw


Abstract.This study examines the impact of using two alternative market indices on estimated betas in the Amman Stock Market (ASE). Five estimation periods, which expand over a period of seven-years (1992-1998), are used to estimate betas for 33 Jordanian corporations listed in the ASE. Results of the T-test and the Wilcoxon Signed Ranks test indicate that value weighted betas tend to be consistently higher than equally weighted betas across the five estimation periods. Although the difference in means of equally weighted (EW) and value weighted (VW) betas varies across the five estimation periods, no apparent systematic link is observed between the differences in means of EW and VW betas and the length of the time intervals over which betas are estimated. Study results may have implications for prior and future researches, in accounting and economic, which apply the market model in small emerging markets.

Received: March 25, 2002

AMS Subject Classification: 03H10

Key Words and Phrases: alternative market, Amman Stock Market

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2002
Volume: 1
Issue: 4