Discovering Structure Breaks in Amman Stocks Market

Abstract-One of the main features in financial and
economic time series data that trigger attention from
researchers is regime shifts or structure breaks. Usually
structure breaks occur because of abrupt of change in the
government policy, financial and economic crisis and political
instability. In recent years wavelet transform becomes more
popular in the financial time series analysis and it has better
advantages than the other filtering methods such as the
traditional technique Fourier transform. In this paper we use
discrete wavelet transform (DWT) via Daubechies function and
Fast Fourier transform (FFT) to capture the possibility of
regime shifts or structure breaks. The main objective is to
detect precisely the changes in the behavior of the Amman
stocks market (Jordan) from December 1998 until July 2009.
We also discuss the advantages and disadvantages between
both methods.