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Month of the year effect : an empirical evidence from Muscat Securities Market
Other Title(s)
ظاهرة شهر من العام : الدليل العلمي من سوق مسقط للأوراق المالية
Author
Source
Damascus University Jornal for the Economic and Political Sciences
Issue
Vol. 33, Issue 1 (30 Jun. 2017), pp.23-43, 21 p.
Publisher
Publication Date
2017-06-30
Country of Publication
Syria
No. of Pages
21
Main Subjects
Financial and Accounting Sciences
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 41-43
Record ID
BIM-872476