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An Examination of the Month-of-the-year Effect at Damascus Securities Exchange

Author

Listed:
  • Sulaiman Mouselli

    (Faculty of Business Administration at Arab International University, Faculty of Economics, Damascus University, Syria)

  • Hazem Al-Samman

    (Department of Accounting and Finance, College of Commerce and Business, Dhofar University, Dhofar, Sultanate of Oman)

Abstract

This paper explores the existence of the month-of-the-year effect in a newly established exchange of Damascus securities exchange. It employs ordinary least squares estimates 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 and Solomon (2013)

Suggested Citation

  • Sulaiman Mouselli & Hazem Al-Samman, 2016. "An Examination of the Month-of-the-year Effect at Damascus Securities Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 573-577.
    • Handle: RePEc:eco:journ1:2016-02-29
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    References listed on IDEAS

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    Cited by:

    1. Abdul Rashid & Saba Kausar, 2019. "Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(1), pages 83-104.

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    More about this item

    Keywords

    Stock Market Efficiency; Calendar Seasonality; Month-of-the-year Effect; Damascus Securities Exchange;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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