An investigation of the January effect in an emerging stock market : the case of Jordan

Abstract EN

This paper examines the January effect using the Jordanian stock market return data collected from the Amman Stock Exchange database.

The empirical research is conducted using GARCH in mean and non-linear GARCH to account for seasonal variation in market risk proxied by equity market volatility.

We find very little evidence in favor of the January effect during the study period for the share price index.

This result provides some support to the informational efficiency aspect of the market efficiency hypothesis.