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An investigation of the January effect in an emerging stock market : the case of Jordan
Author
Source
Mu'tah Lil-Buhuth Wad-Dirasat : Humanities and Social Sciences Series
Issue
Vol. 19, Issue 5 (31 Oct. 2004), pp.75-92, 18 p.
Publisher
Mutah University Deanship of Academic Research
Publication Date
2004-10-31
Country of Publication
Jordan
No. of Pages
18
Main Subjects
Financial and Accounting Sciences
Topics
Abstract AR
تهدف هذه الدراسة إلى فحص أثر شهر كانون الثاني على عوائد الأسهم في سوق عمان المالي.
و لفحص هذا الأثر تم استخدام أسلوبي GARCH in mean و non-linear GARCH للتعديل للحركات الموسمية في مخاطرة السوق, و قد دلت النتائج على عدم وجود أي أثر لهذا الشهر على حركة الأسهم خلال فترة الدراسة.
إن مثل هذه النتيجة قد تدعم جانب الكفاءة المعلوماتية للسوق الكفؤ.
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.
American Psychological Association (APA)
al-Rjoub, Samer A. M.. 2004. An investigation of the January effect in an emerging stock market : the case of Jordan. Mu'tah Lil-Buhuth Wad-Dirasat : Humanities and Social Sciences Series،Vol. 19, no. 5, pp.75-92.
https://search.emarefa.net/detail/BIM-295428
Modern Language Association (MLA)
al-Rjoub, Samer A. M.. An investigation of the January effect in an emerging stock market : the case of Jordan. Mu'tah Lil-Buhuth Wad-Dirasat : Humanities and Social Sciences Series Vol. 19, no. 5 (2004), pp.75-92.
https://search.emarefa.net/detail/BIM-295428
American Medical Association (AMA)
al-Rjoub, Samer A. M.. An investigation of the January effect in an emerging stock market : the case of Jordan. Mu'tah Lil-Buhuth Wad-Dirasat : Humanities and Social Sciences Series. 2004. Vol. 19, no. 5, pp.75-92.
https://search.emarefa.net/detail/BIM-295428
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 89-92
Record ID
BIM-295428