Calendar Anomalies: The Case of Amman Stock Exchange

  •  Dima Alrabadi    
  •  Kamal AL-Qudah    


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.

This work is licensed under a Creative Commons Attribution 4.0 License.