The Effects Of Accounting And Market Indicators Towards Stock Return Of Amman Stock Exchange Index Constituents

The returns of ASE companies and share trading have significantly weakened. Numerous companies have been liquidated due to bankruptcy. Investors appear to be less able to find desired investments under these critical conditions. In addition, the investors in Amman Stock Exchange face challenges in determining the accounting and market indicators that affect the stock return. Therefore, this study investigates the effect of twelve accounting and market indicators on the stock return. A yearly data of indicators and company stock price are collected from the ASE website. Panel generalised least squares regression analysis (GLS) has been conducted to accomplish the research objective. Out of twelve accounting and market indicators, the study revealed the TOA had the highest significantly positive effect on stock return. ROA, EPS, STR, and PBV also had a significant positive influence on stock return. In addition, DR had a significantly negative impact on stock return, while the effect of BPS was marginally negative. Besides, MC, ROE, NPM, CR, and PER did not affect the stock return. This study could help investors and portfolio managers to identify the indicators that affect stock returns of ASE Index companies. Further studies in other emerging markets will support the results that came out in this study.
Keywords: Accounting Indicators, Market Indicators, Stock Return, ASE Index, Islamic Finance.