Calendar Anomalies: The Case of Amman Stock Exchange

Abstract

This study examines calendar anomalies in Amman Stock Exchange (ASE) over the period 2002-2011. Specifically, we investigate the day of the week, month of the year, and turn of the month effects. We use monthly and daily returns of the free float market index. Our findings indicate that returns are significantly higher on Sundays (the first day of trading of the week) and Thursdays (the last trading day of the week) than other days of the week. Moreover a highly significant January effect exists. Finally, we find that most returns happen on the turn of the month rather than during the rest of it. These results are useful to Jordanian investors who can formulate their investment strategies accordingly. Keywords: efficient market hypothesis, alendar anomalies, day of the week effect, January effect, turn of the month effect, Amman stock exchange