Seasonality and January Effect Anomalies in the Jordanian Capital Market

21 Pages Posted: 9 Oct 2003

See all articles by Aktham Issa Maghyereh

Aktham Issa Maghyereh

Hashemite University - Department of Finance and Banking

Multiple version iconThere are 2 versions of this paper

Date Written: August 17, 2003

Abstract

This paper primarily aims to investigate the seasonality of monthly stock returns and January effect anomaly in an emerging stock market of a developing country namely Jordan. Evidence on return seasonality and January effect would have important implications for investment strategies to gain abnormal returns and it would invalidate the paradigm of the efficient markets hypothesis. For the period 1994-2002, daily returns on the Amman Stock Exchange (ASE) are employed. 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. These results indicate that investors cannot take any advantage of information about the month of the year when investing in the ASE to gain abnormal returns. On other words, these new findings indicate that investors in the ASE should not consider the seasonal effects when constructing their portfolio.

Keywords: Seasonality and January Effect, the Jordanian Capital Market

JEL Classification: G14

Suggested Citation

Maghyereh, Aktham Issa, Seasonality and January Effect Anomalies in the Jordanian Capital Market (August 17, 2003). Available at SSRN: https://ssrn.com/abstract=441081 or http://dx.doi.org/10.2139/ssrn.441081

Aktham Issa Maghyereh (Contact Author)

Hashemite University - Department of Finance and Banking ( email )

Zarqa 13115
Jordan
+962 (5) 383 6 600 (Phone)
+962 (5) 383 6 613 (Fax)

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