文章基本信息

标题：Five Calendar Effects in the Amman Stock Exchange
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作者：Omar Khlaif Gharaibeh
期刊名称：Academy of Accounting and Financial Studies Journal
印刷版ISSN：1096-3685
出版年度：2018
卷号：22
期号：4
页码：1-12
语种：English
出版社：The DreamCatchers Group, LLC
摘要：The purpose of this study is to investigate the impact of five various calendar effects on the Amman Stock Exchange (ASE) for the period January 2012 to December 2017. These effects are ‘day-of-the-week’, ‘half of the month’ ‘January’, ‘turn of the month’ and ‘January and non-January Mondays return’. While the existence of some calendar effects has been investigated by using Jordanian market index, the current study is the first to investigate the impact of five various calendar effects on stock returns using all Jordanian firms listed in the ASE. This study shows that the lowest average returns occur on Sunday and Monday, while the ASE exhibits significantly higher average return in Thursdays. This study provides similar evidence found in a lot of markets in terms of the half of the month. Jordanian stock returns are positive and statistically significant over the first half of the month. The ASE provides significantly larger monthly returns in January and December. Furthermore, this paper proves that the turn of the month effect is present in the ASE. In addition, January Mondays return is positive, while non-January Mondays return is negative and statistically significant. These findings are important to both the practitioners and academia..
关键词：Calendar Anomalies;Amman Stock Exchange