An Examination of the Month-of-the-year Effect at Damascus Securities Exchange
This paper explores the existence of the month-of-the-year effect in a newly established exchange of Damascus Securities Exchange (DSE). It employs Ordinary Least Squares Estimates (OLS) and dummy variables for the whole working period of the exchange from 2010 to 2015. This paper confirms the exist...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2016-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/1668 |
| _version_ | 1828020702923456512 |
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| author | Sulaiman Mouselli Hazem Al Samman |
| author_facet | Sulaiman Mouselli Hazem Al Samman |
| author_sort | Sulaiman Mouselli |
| collection | DOAJ |
| description | This paper explores the existence of the month-of-the-year effect in a newly established exchange of Damascus Securities Exchange (DSE). It employs Ordinary Least Squares Estimates (OLS) and dummy variables for the whole working period of the exchange from 2010 to 2015. This paper confirms the existence of positive and significant returns during May compared to remaining months. Average returns in May are six percent higher than average returns during the rest of the year. A possible explanation for May effect is dividend month premium suggested by Hartzmark & Solomon (2013).
Keywords: stock market efficiency, calendar seasonality, month-of-the-year effect, Damascus Securities Exchange.
JEL Classifications: G11, G14, G19
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| first_indexed | 2024-04-10T11:41:35Z |
| format | Article |
| id | doaj.art-2020f9ce66c748f592f492cd12ae9aa8 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T11:41:35Z |
| publishDate | 2016-04-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-2020f9ce66c748f592f492cd12ae9aa82023-02-15T16:17:29ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382016-04-0162An Examination of the Month-of-the-year Effect at Damascus Securities ExchangeSulaiman Mouselli0Hazem Al Samman1Arab International University, Faculty of Business AdministrationDhofar University, College of Commerce and Business, Department of Accounting and Finance,This paper explores the existence of the month-of-the-year effect in a newly established exchange of Damascus Securities Exchange (DSE). It employs Ordinary Least Squares Estimates (OLS) and dummy variables for the whole working period of the exchange from 2010 to 2015. This paper confirms the existence of positive and significant returns during May compared to remaining months. Average returns in May are six percent higher than average returns during the rest of the year. A possible explanation for May effect is dividend month premium suggested by Hartzmark & Solomon (2013). Keywords: stock market efficiency, calendar seasonality, month-of-the-year effect, Damascus Securities Exchange. JEL Classifications: G11, G14, G19 https://www.econjournals.com/index.php/ijefi/article/view/1668 |
| spellingShingle | Sulaiman Mouselli Hazem Al Samman An Examination of the Month-of-the-year Effect at Damascus Securities Exchange International Journal of Economics and Financial Issues |
| title | An Examination of the Month-of-the-year Effect at Damascus Securities Exchange |
| title_full | An Examination of the Month-of-the-year Effect at Damascus Securities Exchange |
| title_fullStr | An Examination of the Month-of-the-year Effect at Damascus Securities Exchange |
| title_full_unstemmed | An Examination of the Month-of-the-year Effect at Damascus Securities Exchange |
| title_short | An Examination of the Month-of-the-year Effect at Damascus Securities Exchange |
| title_sort | examination of the month of the year effect at damascus securities exchange |
| url | https://www.econjournals.com/index.php/ijefi/article/view/1668 |
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