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This study aims to test the relationship between risk and return in Amman Stock Exchange (ASE), in order to identify the market's ability to reward investors who are willing to take on additional risk. Using daily return for the Market Capitalization Weighted Price Index of the Jordanian stock market for the period from the first trading day on year 2000 to the last trading day of the year 2013. The full period has been separated into two periods: before the global financial crisis (BGFC) and during the global financial crisis (DGFC), to show if there is any impact of the financial crisis on the relationship between the risk and return. The GARCH model has been employed after testing for normality, heteroscedasticity and stationary, all of which have concluded the preference of using the GARCH model approach. Results have concluded that the conditional relationship between risk and return at the FULL period did not support the trade-off- theory, where there has been no statistically significant effect of risk, measured by volatility, on the market return during the FULL period, nor in the Before Global Financial Crisis (BGFC) period. This result of the study supports the results of studies which concluded that the ASE is not efficient at the semi-strong level of efficiency.

GARCH Approach for Testing the Conditional Relationship between Risk and Return in the Jordanian Stock Market