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Testing Semi-Strong-Form Efficiency in Amman Stock Exchange

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.