Calendar Anomalies in the Amman Stock Exchange

摘要

Markeefficiency statethastock priceare fairly priced and reflecall available information in the market. The arrival of new information will be instantly reflected in the new stock priceand no investowill be able to achieve abnormal return more than the markeoffers. However, researcherhave shown thain certain datestock pricego up compared to the resof the period. The dateare called anomalieocalendaeffects. These anomaliehave been show to exisin both mature and emerging stock markets. Thipapeexaminethe existence of three typeof calendaeffects; the month-of-the-year, the turn-of-year, and the turn-of-the fiscal yeain the Amman Stock Exchange (ASE) fothe period 1978-2018. Thiresearcheconcludethaexcepfothe sub-period 1993-2018 where the turn-of-the-financial yeaipresent, none of the calendaanomalieare presenin the Amman Stock Exchange.