Download This PaperSeasonality and January Effect Anomalies in the Jordanian Capital Market
17 Pages Posted: 10 Dec 2003
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Seasonality and January Effect Anomalies in the Jordanian Capital Market
Number of pages: 21
Posted: 09 Oct 2003
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Abstract
The Amman Stock exchange is examined for evidence of a seasonality of monthly stock returns and January effect anomaly. Using the standard GARCH, exponential GARCH (EGARCH) and the GJR models, we found no evidence of monthly seasonality as well as January effect in the ASE returns.
Keywords: Jordanian Capital Market,seasonality, January effect, GARCH
JEL Classification: G1, 053
Suggested Citation: Suggested Citation
Maghyereh, Aktham Issa, Seasonality and January Effect Anomalies in the Jordanian Capital Market. Available at SSRN: https://ssrn.com/abstract=364361 or http://dx.doi.org/10.2139/ssrn.364361
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