MARKET EFFICIENCY IN A SMALL THINLY TRADED STOCK MARKET: THE CASE OF AMMAN STOCK EXCHANGE

Mahmoud Haj
Wiley College, Marshall, TX
ABSTRACT
This study examines market efficiency in an emerging stock market. It takes into account
some characteristics that face emerging markets like thin trading, non-linearity and structural
changes. Empirical results show that the Amman Stock Exchange has a structural change in 1993.
Furthermore, the empirical results show that the Amman Stock Exchange has been efficient for the
whole period of study and the first sub-period before the structural change. For the period after
the break the market has become inefficient.