MultiScience - XXXIII. microCAD International Multidisciplinary Scientific Conference

University of Miskolc, 23-24 May, 2019. ISBN 978-963-358-177-3

TESTING SEMI-STRONG-FORM EFFICIENCY IN AMMAN STOCK

EXCHANGE

Bustanji Mazen

Ph.D. student

University of Miskolc

Mazen.boss520@gmail.com

Licensing officer, Licensing and Inspection Department,

Jordan Securities Commission

Supervisor: Dr. Bozsik Sandor

ABSTRACT

This paper empirically investigates the behavior of daily stock return around securities characteristic

line model for a sample of 5 most liquidate securities banks listed in the Amman Stock Exchange

(ASE), over the years 2013-2017. More specifically, the paper investigates whether daily return follows

the random walk theory. Such a finding would be consistent with the overreaction hypothesis, also

referred to presenting the securities characteristic line model and study the abnormal returns of

regression analysis.

The study indicates that the Amman Stock Exchange is not an efficient market at the semi-strong level,

stock prices do not respond to the disclosure information and published financial reports for companies

but affected by other factors.

Keywords: semi-strong level, Market efficiency; Random Walk Tests, securities characteristic line;

CAPM.

Introduction

The role of the capital market is the allocation of ownership of the economy's capital stock and that's

why its created mainly for this reason, and to drive the market to be efficient it supposed to meet

objectives of financial reporting by providing investors and creditors with useful information to help

them realize what is going around and take decision for make national investment and credit decision.

(FASB, 1978)

This definition implies that it is anyone cannot earn the profit above average return by trading in the

stock market. This means that as all the new information is already reflected in the current stock

prices no investor could be able to outperform the market.

The story for the three efficient capital markets are known for most of readers who know a bit

about what Fama’s efficiency level when he tries to classify his theory of capital markets (weak,

semi-strong and strong) (Fama, 1991)and he also developed the ways to test them first, test for

return predictability instead of weak-form test; second, event studies instead of semi-strong form

test; third, test for private information instead of strong-form test. However here the paper will

take it in the different explanation by focusing only about the currently available information and

its affection on shares price, at the same time what will be the behavior of the shares after the

announcement take a place?

The satisfaction of the investors would be related to the share price behavior and that’s what any

company management try to focus on this will be a good sign to judge the management. In other

DOI: 10.26649/musci.2019.098

words, a market also can be defined in which prices provide accurate signals for resource

allocation: a market could help for making reliable production-investment decision, and investors

can choose from different options of securities that represent ownership of firms, on the other

hand, these activities under assumption that security prices at any time “fully reflect” all available

information.

Hence, new information cannot be used by anyone for earning abnormal returns. (Fama, 1970)A

market can reflect all available information is called “efficient”, Semi-strong form efficiency is an

aspect of the capital market hypothesis that assumes all public information would be reflected on

the current stock exchange, one of good ways to analyze market and make decision if the market is

efficient on the semi-strong form or not will be by using a type of regression line which is

“Security Characteristic line”(SCL) (Cyrlac & Jeevanand, 2007) by plotting performance of

particular security or portfolio against that of the market portfolio at every time period, THE

(SCL)is a graph where Y-axis is the excess return on a security over risk free return and the x-axis

is the excess return of the market in general.

The slope of the graph will represent the security's Beta, and Alfa will be the intercept.

The semi-strong EMH states that predictability of movement in share prices is not possible on the

basis of publicly available information. On another hand, there is a possibility to differentiate between

two types of semi-strong efficiency, first; by using macro data such as inflation, exchange rate, the

money stock, and the other based on microdata such as company-specific announcements (any

information that company publishes to the investors could affect the decision making.

any given time and in a liquid market, security prices fully reflect all available information. This

theory evolved from a 1960s Ph.D. dissertation by U. S. economist Eugene, (Fama, 1970). The theory

contends that since markets are efficient and current prices reflect all information, attempts to

outperform the market are subject to chance, not skill. The main idea behind this is

the Random Walk Theory, where all price changes reflect a random departure from previous prices.

Because share prices instantly reflect all available information, then the next day’s prices (t+1) are

independent of today’s prices

(t) And will only reflect tomorrow’s news.

Literature review

Different studies have been work on the testing semi-strong form of the EMH throw many ways for

example dividend, bonus, stock split, options listing, block trading, right issue, annual earning etc.

mainly the paper will focus on critical review of the significant effect of studies by the researchers:

(Al-Khouri & Ajlouni, 2007)studied the behavior of daily stock return volatility around the price limit

hit for a sample of 159 securities listed in Amman Stock Exchange (ASE), during 1994, and 1995.

The study results indicated that stocks hit experienced its highest level of volatility on the day when

stocks-hit reached its upper daily price limits of 5% (day 0) and decreases significantly one day after

the hit. Similar results are documented when stock hits reach their lower daily price limits of -5%,

however with less magnitude.

(Leuthold & Hartmann, 1979)was studying the semi-strong form test of the efficiency of the Live-

Hog future market by employing econometric forecasting model. The study concludes the market

(Live-Hog futures market has no performed efficiently. And the presence of objectionable inaccuracies

has been observed, thereby supporting the view that live-hog futures market is inefficient.

(Ormos, 2002), tested the empirical data of the efficiency of the Hungarian Capital Market in its

semi-strong and strong form. The study focused to examine whether the Hungarian Capital Market

was efficient in the semi-strong form. The investigation was based on the capital market data over

the period from 1991 to 2000, which was analyzed by employing an event study. The study

concluded that a strong form of the efficiency of the capital market does not completely hold true,

thereby supporting that Hungarian Capital Market is semi-strong form efficient.

(Hadi, 2006), throw types of Efficient Market Hypothesis. That paper undertook detailed research

tested the three types of market efficiency forms. It is observed that accounting-based research

generally assumes that the market is efficient in semi-strong form. The sense behind that is the

financial reports are considered public information once they have been released in the market. So

the paper provided empirical evidence from the Jordanian market, which suggested that the security

market reacted with mixed signals on releasing profitability, liquidity and solvency information.

(Yalama & Sibel, 2008)also studied the semi-strong form by investigating Istanbul Stock

Exchange Market (ISE-100), foreign Exchange market (FEM) and inter-bank Money Market

(IMM) in respect to changes in Currency and Circulation (CIC). The data of daily trading during

the period from 1990 – 2008 which was analyzed by employing Toda Yamamoto Causality method.

That study concluded that Turkey money market is semi-strong form efficient while the capital

market is not, by explaining the relationship between running form CIC to FEM and CIC to IMM,

however, there is no causality relationship running from CIC to ISE-100.

(Satyajit & Chhaochharia, 2008)analyzed the impact of the information relating to the announcement

of the stock split and bonus issue on stocks listed on the National Stock Exchange (NSE) by

employing event study. Both the events, that is stock split and bonus issue reflect significantly

positive announcement effect. For bonus issues, the abnormal return was about 1.8% and for stock

splits it was about 0.8%. Thereby the study supports the view that the Indian Stock Market is efficient

in semi-strong form.

(Pichardo & Bacon, 2009), examined the effect of Lehman Brother’s Bankruptcy on the overall

market by taking stock price’s risk-adjusted rate of return for 15 selected brokerage firms.

Statistical tests proved that the bankruptcy had a negative impact on stock price’s risk-adjusted rate

of return for the 15 firms, which supports the semi-strong market efficiency theory. Even after the

event, bankruptcy continued to affect the market. Some of the studies have also been made on the

FII’s impact on Indian Capital Market separately i.e; not in the context of a testing semi-strong form

of EMH only analyzing the influence of FII’s on Indian Capital Market.

(Vandana, 2003)tested the semi-strong efficiency of the Indian Stock market over the period 1995 to

2000 by employing an event study. The study involved a sample of 145 bonus issues, in order to

examine the announcement effects of bonus issues on equity share prices in India. The study

concluded that the Indian Stock market was semi-strong form efficient.

(Mishra, 2005)examined the reaction of the stock price to the information content of bonus issues

over the period 1998 to 2004. For the purpose of the study samples of 46 stocks listed on the NSE and

BSE of India were analyzed by employing event study using 180-day event window. It was found that

stocks show abnormal return before eight or nine days of the announcement, thereby supporting the

evidence that the Indian Stock market is efficient in its semi-strong form.

(Iqbal & Mallikarjunappa, 2007)tested market reaction to quarterly earnings announcement of 149

companies listed on the Bombay Stock Exchange for September 2001 by employing both

parametric and nonparametric tests. It is observed that during the event window, runs test are not

significant at 5% level, which signifies that abnormal returns occur randomly. On the other hand, t-

test rejects the existence of abnormal returns on daily basis, which provides an opportunity to beat

the market and earn abnormal returns. The study concludes that the Indian stock market is not

efficient in semi-strong form.

Authors

Market

name

Source of

Data

Name of

the test

used

Period of

study

Results

(Al-Khouri &

Ajlouni, 2007)

Amman

Stock

Exchange

159 securities

listed

Models 1994-1995 stocks hit

experienced its the

highest level of

Volatility when

stocks-hit reached

its upper daily price

limits of 5%, and vis a versa.

(Leuthold &

Hartmann, 1979)

live-hog

futures

market

Econometric

model

econometric

forecasting

model semi-

strong form

1964 Inefficient

(Ormos, 2002) Hungarian

Capital

Market

semi-strong

and strong

form

event study 1991 - 2000 Efficient

(Hadi, 2006) Jordanian

market

and Arab

Capital

markets

semi-strong

form

integration

techniques

2005-2006 security market

reacted with mixed

signals on releasing

profitability,

liquidity and solvency information

(Yalama & Sibel,

2008)

Istanbul

Stock

Exchange

Market

daily trading semi-strong

form

1990 - 2008 no causality

relationship running

from CIC to ISE-100

(Satyajit &

Chhaochharia,

2008)

Indian

Stock

Market

90 stock splits and 82

bonus issues

announced

by

companies

listed on the

BSE 500

event study 2001-2007 efficient

index

(Pichardo &

Bacon, 2009)

Indian Stock

Market

15 firms' stock price's

risk adjusted

rate of return

examining the effect

of the

Lehman

Brothers

bankruptcy

on several

brokerage

firms

before and after

Septembere

r 15, 2008

the market anticipated the

collapse of Lehman

Vandana, Gupta,

2003

Indian Stock

Market

145 bonus issues

event study 1995 -2000 Efficient

(Mishra, 2005) Indian Stock

Market

46 stocks listed on the

NSE and

BSE of India

event study 1998 - 2004 Efficient

(Iqbal &

Mallikarjunappa,

2007)

Indian Stock

Market

149 companies

listed

event study ( T-test,

Runs and

sign test)

September 2001

Inefficient

From the previous researches noticed some similarities and differences, especially from the test used

at the same level of efficiency and the same study style but at the same time founded differences in

the results for example the last 2 studies about the Indian stock market after using a different sample

and different tests they conclude different efficiencies, notice also lack of studies for the Jordanian

capital market and recommendations for the managers, investors, shareholders and government

authorities in making their decisions.

From those points, this study gets its importance to spot the light on more specific details at the

Jordanian capital market.

Problem statement

This study seeks to measure the behavior of stock prices in the Amman Stock Exchange (ASE),

which is expected to follow a random walk. The aim of the study is to measure the semi-strong form

efficiency in the context of securities characteristic line (SCL) and impact on Jordanian Capital

Market which in the recent years has become a key and prominent factor.

Since new information is publicly available in an unbiased manner it is not possible to earn an excess

return on the basis of that information. The concept of the Efficient Market Hypothesis is a vital aspect

of the Efficient Market Theory.

The objectives of the study:

This paper will present the (SCL) model on the Jordanian capital market, and study the abnormal

returns throw the regression statistics.

The following equation refers to (SCL):

𝑅𝑗,𝑡+1 = 𝛼𝑗 + 𝛽𝑗𝑅𝑚,𝑡+1 + 𝜇𝑗,𝑡+1 ……… (1)

𝑅𝑗,𝑡+1 = the rate of return on security j for the period for t to t + 1;

𝑅𝑚,𝑡+1 = the corresponding return on a market index m;

𝛼𝑗 and 𝛽𝑗 = parameters that vary from security to security; and

𝜇𝑗,𝑡+1 = error term.

Risk free rate is incorporated into 𝛼𝑗 and 𝛽𝑗 by the following

Using the context of an efficient-market pricing model in which 𝛷𝑡 is the set of relevant information available for determining security prices at time t, Equation (1) may be rewritten:

𝐸(𝑅𝑗,𝑡+1|𝛷𝑡) = 𝛼𝑗(𝛷𝑡) + 𝛽𝑗(𝛷𝑡)𝐸(𝑅𝑚,𝑡+1|𝛷𝑡)

Tests of this form will help to understand:

1. The speed of adjustment of stock prices to new information

2. Studies that consider whether investors can achieve above-average profits by trading on the

basis of any publicly available information.

Capital Assets Pricing Model (CAPM) can be used simultaneously to test the efficiency of the capital

market and the validity of the CAPM, as shown by (Roll, 1977). Under the definition that semi-strong

form reflects all available information, the fair-game model, which says expected return on an asset

equals its actual return, should apply. Expected abnormal return for the security should be zero.

SCOPE:

The present study tests the market efficiency of Jordanian Capital Market in its semi-strong form of

Efficient Market Hypothesis in the context of securities characteristic line (SCL) and impacts on

Jordanian Capital Market. This study covers the period of five years i.e.; from 1st January 2013 to 31st

December 2017. also, the study will focus on most liquidate shares in the listed shares in order to study

most 10 important disclosures in the period mentioned before. An attempt is made to carve out a clear

picture of the behavior of stock prices in the Amman Stock Exchange (ASE), which is expected to

follow a random walk.

Importance of the study:

This study came to achieve some objectives

1. To assess the growth and development of the Jordanian Capital Market

2. To test the efficiency of the Jordanian Capital Market

3. To develop an understanding of the concept and role of efficiency and easy to compare the

Jordanian capital market with another market at the same level of efficiency.

4. To study the relationship between the movement of stock prices and disclosures, in another word

the efficiency of management listed company shares and its price behavior.

5. To test the existence of the semi-strong form of Efficient Market Hypothesis in Jordanian Capital

Market in the context of (SCL), and (CAPM).

Data Collection

The news archives of JSC (Commission, 2018)and ASE (Exchange, 2018)in Jordan Securities

commission and Amman stock exchange, respectively, as news sources. According to the law on

Financial Securities market in listed companies are required to provide the market regulator with the

important news But the definition itself from the Jordanian Securities Commission still not obvious

comparing with the same level of disclosure with a comparison of another country for example

Lithuania

“Immediately but not later than the news are announced to the mass media” (Lithuanian, 2018)

“The Stock Exchange shall immediately disclose information and data it receives which may have an

impact on the prices of securities and trading.” (Exchange, 2018)

And it also needs to define the word immediately in the Amman stock exchange to enhancing the

effective tools in the capital market.

Research Hypotheses:

A. Testing if Amman Stock Exchange following the (SCL) to help the investors easily to measure risk and make decisions.

Null Hypothesis (H0): Amman stock exchange is following the (SCL). Alternate Hypothesis (Hα):

Amman stock exchange is not following the (SCL).

B. Testing the relation between disclosures and behavior of stocks return in the Amman Stock Exchange (ASE).

Null Hypothesis (H0): There is a relation between the movement of stock return and disclosures.

Alternate Hypothesis (Hα): There is no relation between the movement of stock return and

disclosures.

C. Testing the efficiency of Jordanian Capital Market at the semi-strong form.

Null Hypothesis (H0): Jordanian Capital Market is Semi-Strong Form Efficient. Alternate

Hypothesis (Hα): Jordanian Capital Market is not Semi-Strong Form Efficient.

Islamic Jordanian

25%

15%

5%

-6% --15%%

-15%

-25% R² = 0,0116

y = 0,3676x - 0,0021

4%

DESIGN AND METHODOLOGY

The characteristic line is founded by plots of the securities return at the different points in time. The y-

axis on the chart measures the excess return of the security. Excess return is measured against the risk-

free rate of return. The x-axis on the chart measures the market's return in excess of the risk-free rate

(Bollerslev et al, 1988).

Fama’s assumes that the state of independent investment opportunity set, the distribution of deflated

excess rates of returns for individual securities would also be identically distributed over time. This

suggests that unbiased estimates of a portfolio's expected rate of return, beta and gamma may be

obtained from deflated excess rates of return over the sample period. (Fama, 1970)

The interesting thing here is how to account the errors and of the measurement in beta and gammas?

risk asset portfolios were formed with a grouping procedure similar to the procedures used by (Black,

et al, 1972)and (Fama and J. MacBeth, 1973)Using the riskless lending rate and deflated excess rates

of return, beta and gamma were estimated for each stock that was continuously listed on the (ASE)

during the 60 months from January 2013 through December 2017. The estimates of beta and gamma

for the security were calculated by respectively

Arabic

Iskan

20% 25%

10% 15%

5%

0%

-4% -2% 0% 2% 4% -4% -2% -5% 0% 2% 4%

-10% -15%

y = 1,0243x + 0,007 y = 0,3549x + 0,0003 -20% R² = 0,1183 -25% R² = 0,0287

y = 0,6789x - 0,0031 R² = 0,0561 safwa

25%

5%

-4

-35%

4% 2% 0% -15%

-2% %

After examining the data to apply it on a scatter diagram it is a relation to expected return and

systematic risk (beta) to show how the market must price individual securities in relation to their

security risk class. Only two banks out of five are possible to apply the CAPM model Arab bank and

Cairo Amman bank, calculate the reward-to-risk ratio for any security in relation to that of the overall

market. Therefore, when the expected rate of return for any security is deflated by its beta coefficient,

the reward-to-risk ratio for any individual security in the market is equal to the market reward-to-risk

ratio, thus:

𝑅𝑗,𝑡+1 = 𝛼𝑗 + 𝛽𝑗𝑅𝑚,𝑡+1 + 𝜇𝑗,𝑡+1 ……… (1)

Arabic bank= 0.7%+1.0243

And its R² = 0.1183, that’s mean 11% proportion of the variation in Y axes (Arabic share) being

explained by the variation of X (market)

Cairo Amman bank= 1.1%+1.4462

And its R² = 0.1001, that’s mean 10% proportion of the variation in Y aces (Arabic share) being

explained by the variation of X (market)

Mean Standard

Deviation Standard

Error 𝜶𝒋(intercept) 𝜷𝒋(Slope) R²

Arabic 6.795667 98.8% 12.76% 1.0243 0.70%

11.8%

Iskan 9.053333333 56.7% 7.32% 0.3549 0.03%

2.9%

Islamic Jordanian

3.560833 35.4% 4.57% 0.3676 0.21%

1.2%

Cairo Amman

2.440833 61.6% 7.96% 1.4462 1.10%

10%

Safwa 1.055833 17% 2.20% 0.6789 0.31% 5.6%

Cairo Amman

40%

20%

-6%

0% -1%

-20%

4%

-40% y = 1,4462x + 0,011

R² = 0,1001

And this means to reject the Null Hypothesis (H0): Amman stock exchange is following the (SCL),

it’s not easy for the investors to measure risk and make decisions, because only two banks out of five

could be reliable to apply the SCL.

Throw the statistical regression analysis (Durbin & Watson, 1950)they developed a static number

that tests for autocorrelation in the residual form this static always between 0 and 4. The positive

autocorrelation means the number will be more related to zero and the negative autocorrelation is

more related to 4 while the exact 2 means there is no autocorrelation in the sample and this is the

weak form of efficiency, and to make sure the population is normally distributed to test the null

hypothesis if the p-value is less than the chosen alpha level, then the null hypothesis is rejected

and there is evidence that the data tested are not normally distributed. On the other hand, if the p -

value is greater than the chosen alpha level, then the null hypothesis that the data came from a

normally distributed population can’t be rejected (Shapiro & Wilk, 1965)

The following data will explain the accumulated return for the sample, before and after 10 days of

the disclosures while the 11th (Bold and red) is reflecting the day of disclosures, the most effective

examples were taken to explain the accumulated return behavior:

Here the sheet shows that there was an increasing before the disclosure and this could be because some

the investors can access information before others which is a good example for the inefficiency of the

semi-strong form.

10 20

Time period -9,0%

0

31,0% 21,0%

11,0%

1,0%

C.A

Appointment

Time period

-0,5%

-1,0%

30 20 10 0

1,0%

0,5%

0,0%

THBK Buying

C.A Appointment

7,0%

5,0%

3,0%

1,0%

-1,0% 0

-3,0% 10 20

-5,0% Time period

Acc

um

ela

ted

ret

ure

n

Acc

um

ela

ted

re

ture

n

Accu

mel

ate

d R

etu

ren

Time period

8,0%

6,0%

4,0%

2,0%

0,0%

-2,0%

-4,0%

JOIB

Increase of capital

Time period

5,0%

0,0%

-5,0%

Safwa Annual report

10,0%

10 20

Time period -5,0%

0

15,0%

10,0%

5,0%

0,0%

JOIB

Annual report

Time period

2,0%

0,0%

-2,0%

-4,0%

-6,0%

JOIB

BOD

Time period

20

2,0%

0,0%

-2,0% 0

-4,0%

-6,0%

-8,0%

-10,0%

-12,0%

JOIB Appointment

Data for an annual report an increase of capital is taking its normal place before and after announcing

to stay redundant within a limit, but for the decision of Increasing capital, it didn't affect the market

much on this share.

0 10 20 30

By taking an another different examples on the decisions of Board of directors and appointment a new

member at board of directors due to annual report it will be easy to notice the return could affect the

disclosures after it takes place on the 11th day on sheet while the different accumulated return remains

constant and after the announcement could increase or decrease, this case is the right behavior of the

semi-strong efficiency and the strong form as well.

After examining the behavior of the data comparing every share return with the period before and after

the information announcements for ten days before and ten days after, and the results noticed in two

points:

(1) there are three types of behavior for the sample shares:

0 5 10 15 20

0 5 10 15 20 25

Acc

um

ela

ted

re

ture

n

Acc

um

ela

red

ret

urn

A

ccu

mel

ate

d r

etu

rn

Acc

um

ela

ted

re

turn

Acc

um

ela

ted

ret

urn

Semi-strong Efficiency Strong efficiency Total

Observations Efficient innefficient Efficient innefficient

Disclosure of

ownership

04-01-2015

01-06-2014 19-06-2014

04-01-2015

01-06-2014 19-06-2014

4

15-10-2014 15-10-2014

Buying shares

20-11-2016 4

20-11-2016 20-11-2016 20-11-2016

19-10-2015 19-10-2015

4-05-2014 4-05-2014

increase of

capital

15-05-2014 21-04-2015

2-04-2014 08-02-2015

21-04-2015 08-02-2015

2-04-2014 08-02-2015

6

08-02-2015 08-05-2016 08-05-2016

15-05-2014

Board of

director

decision

29-01-2013 22-01-2013

31-03-2016

28-11-2016 4-09-2016 06-05-2015 12-03-2015

26-01-2014 18-02-2013 29-01-2013 22-01-2013

28-11-2016 4-09-2016 06-05-2015 12-03-2015

13

23-07-2014 16-07-2014 23-07-2014

16-07-2014 12-02-2014 12-02-2014

26-01-2014 5-08-2013

5-08-2013 31-03-2016

18-02-2013

Semi-annual

financial

reports

31-07-2013 07-11-2016 31-07-2016 26-08-2015 30-07-2015

30-07-2015 31-07-2013 07-11-2016 31-07-2016 26-08-2015

7

27-07-2015 27-07-2015

6-10-2013 6-10-2013

Annual

financial

reports

30-03-2015 11-04-2013 30-03-2014

01-02-2015

30-03-2014 30-03-2015

11-04-2013 01-02-2015 30-03-2015

5

30-03-2015

Appointment a

new person

18-04-2013 27-06-2013

28-05-2015 11-02-2014 25-11-2013

18-04-2013 01-07-2015

28-05-2015 11-02-2014 25-11-2013

8

27-03-2013 27-03-2013

28-03-2013 28-03-2013

01-07-2015 27-06-2013

Resignation 17-02-2016 05-10-2016 16-02-2016

05-10-2016 17-02-2016

3

16-02-2016

Total percentage of the semi-strong efficient form is=28%=14/50 this will lead that the Amman Stock

Exchange is not an efficient market from the efficiency of disclosures point (1-0.28) is not <0.5. 14

observations showed shares return was not moving before and affected after the price shares effected

directly after disclosures take place.

Total percentage of the strong efficient form is=28%=14/50 This also includes that the capital market is

no effect at the strong form the point of disclosures(1-0.28) is not <0.5. 14 observations showed shares

return was not moving before but affected at the time of disclosure, the price shares were stable and

affected directly at the time of disclosures.

(2) There were three groups of disclosure behavior:

First group "efficient": the price shares were stable and affected directly by the time of disclosures

whether increasing or decreasing highly effect after disclosures

Second group: the price shares effected before and still effects at the time of disclosure to be stable

again after a short time of announcing information to the public.

3ed group: the price shares does not affect at all to the disclosure information provided to still reaming

before and after.

If data doesn't affect before the disclosure this means its semi-strong efficient and there is no insider

trading, at the same time if Data effected after the disclosures directly this means investors react to

information to make a decision and this is the strong form of efficiency.

Testing the relationship between disclosures and behavior of stock return in Amman Stock Exchange

(ASE), which conclude to, Reject the Null Hypothesis (H0) There is a relation between the movement

of stock return and disclosures, and accept the Alternate Hypothesis there is no relation between the

movement of stocks return and disclosures, that’s because only 9 out of 50 (18%) could be semi-strong

efficiency form.

FINDINGS AND DISCUSSION

The analysis of the data based on correlation and regression techniques leads to the conclusion that the

Null Hypotheses in all three cases are rejected:

1- Amman stock exchange is not following the (SCL):

Which means it’s not easy for the investors to measure risk and make decisions because only two

shares out of four could be reliable to apply the SCL.

2- There is no relation between the movement of stocks return and disclosures:

Stock prices do not respond to the disclosure information and published financial reports for companies,

but affected by other factors.

3- Testing the efficiency of Jordanian Capital Market at the semi-strong form.

Reject the Null Hypothesis (H0): Jordanian Capital Market is Semi-Strong Form and concludes the

Amman Stock Exchange is not an efficient market at a semi-strong form.

CONCLUSION

Efficiency of capital markets is connected directly to the speed change of share prices listed in the

market, specially information available to the public and that will help the investors to reevaluate the

financial stock to decide take an action, at the same time the efficiency level is different from market to

another depends on the degree of information available, while this study concluded that Amman Stock

Exchange is not an efficient market at the semi-strong form which leads to agree with previous studies,

on the basis of the data analyzed, that there is no significant relationship between the movement of

shares return and disclosures time, in the Jordanian capital market and Amman Stock Exchange, Hence

there is an insignificant relationship between the movement of price return and disclosures. Capital

Market in relation to the SCL Model is not semi-strong form efficient), while this paper used a different

methodology and data after financial crises period, the capital market still affected of the financial

crisis.

To make the market efficient the securities commission has to:

- Provide information at the right time with more speed, because any delay will affect negatively

on the market and motivate to get information in an illegal way.

- Follow up new ways to analyze the stocks listed in the market, for example, CAPM, SCL, and

Securities characteristic line.

- Introduce more rules to gain the investors' trust by controlling the disclosures to be more

efficient and effective by time and accuracy.

- For investors, they can make more money by analyzing the shares after disclosures and react

after a short time to the changes in price shares.

Consequently, it is suggested that future research carried out in the Middle Eastern context should

include periods before and after the financial crises of 2008 to test its impact on market efficiency.

Furthermore, future research is suggested to study the interrelationship between market efficiency at the

semi-strong form and the impact of the information relating to the announcement of stock.

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