THE DEATH OF A KING AND VOLATILITY IN THE JORDANIAN CAPITAL MARKET

Aktham MAGHYEREH (The Hashemite University)
Ghassan OMET (The Hashemite University)

King Hussein of Jordan, the region's longest-serving leader, died on Sunday, 7 February 1999. Although it came as no surprise, that did not lessen the grief by Jordanians. Indeed, this event in the contemporary history of Jordan is important for its emotional, political and economic implications.

This paper uses the standard GARCH, exponential GARCH (EGARCH) and the GJR models to examine the conditional volatility associated with two major dates associated with King Hussein. These are the official denial that Hussein may die within three months and the date of his death.

The results indicate that King Hussein's health "rumors" and the date of his death caused extremely high volatility in the capital market. Moreover, the results suggest that these events are discounted in at least three days following their respective dates.