Global Advanced Research Journal of Management and Business Studies (ISSN: 2315-5086)

October 2017 Vol. 6(6), pp 176-182

Copyright © 2017 Global Advanced Research Journals   

 

 

Original Research Articles

Efficient Market Hypothesis and the Calendar Effect on the Returns of Shares: Evidence from Amman Stock Exchange

Dr. Sameh Abu Shanab1  and Dr. Khalaf. S. Al-Ta'ani 2

1Assistant Professor, Finance Department, Faculty of Business, Amman Arab UniversityEmail: sameh@aau.edu.jo

2Associate Professor, Finance Department, Faculty of Business, Amman Arab University, Amman –Jordan

Email: khalaf@aau.edu.jo Or    ktaani@yahoo.com

Accepted 16 October  2017


Abstract 

This research aims at testing the calendar effect on the returns of shares in the ASE, especially Ramadan and the end of the year effects. The research was applied on a sample of shares of (13) companies listed in the Amman Stock Exchange, from different sectors, for the year 2006 in comparison with year 2015. Empirical results revealed significant negative impact of Ramadan on returns, and significant positive impact of January on returns. These findings are of utmost interest amidst investors, researchers and practitioners. 

Keywords: Efficient Market Hypothesis, Calendar Effect, Stock return, Amman stock Exchange




 











 








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