Month of the year effect : an empirical evidence from Muscat Securities Market
العناوين الأخرى
ظاهرة شهر من العام : الدليل العلمي من سوق مسقط للأوراق المالية
المؤلف
المصدر
Damascus University Jornal for the Economic and Political Sciences
العدد
المجلد 33، العدد 1 (30 يونيو/حزيران 2017)، ص ص. 23-43، 21ص.
الناشر
تاريخ النشر
2017-06-30
دولة النشر
سوريا
عدد الصفحات
21
التخصصات الرئيسية
الملخص EN
This paper explores the existence of a calendar seasonality at Muscat Securities Market (MSM) that is the month-of-theyear effect.
It employs Ordinary Least Squares (OLS) and estimates dummy variables for the whole sample period of January 2005 to July 2016.
Tests were also repeated using three different models for conditional variance; GARCH, EGARCH and TARCH.
This paper confirms the existence of positive and significant returns during April compared to remaining months.
Average returns in April are two times higher than average returns during the rest of the year.
A possible explanation for April effect is investors’ reaction to dividends distributions when returns rise substantially in April that follows the month of earning announcement of March.
The results of this paper are important for investors and researchers alike.
Investors can exploit this calendar anomaly through developing a strategy that purchases stocks at the end of November and sell at the end of April.
The large spread in returns between April and November and the low transaction costs suggest the feasibility of such strategy.
Researchers, on the other hand, need to consider April effect in portfolio construction, the evaluation of fund performance, as well as in asset pricing tests.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Mawsili, Sulayman Hashim. 2017. Month of the year effect : an empirical evidence from Muscat Securities Market. Damascus University Jornal for the Economic and Political Sciences،Vol. 33, no. 1, pp.23-43.
https://search.emarefa.net/detail/BIM-872476
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Mawsili, Sulayman Hashim. Month of the year effect : an empirical evidence from Muscat Securities Market. Damascus University Jornal for the Economic and Political Sciences Vol. 33, no. 1 (2017), pp.23-43.
https://search.emarefa.net/detail/BIM-872476
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Mawsili, Sulayman Hashim. Month of the year effect : an empirical evidence from Muscat Securities Market. Damascus University Jornal for the Economic and Political Sciences. 2017. Vol. 33, no. 1, pp.23-43.
https://search.emarefa.net/detail/BIM-872476
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references : p. 41-43
رقم السجل
BIM-872476
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر