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Presence of Contrarian Profits in the Jordan Stock Market

Author

Listed:
  • Malik R. Elhaj
  • Shah Chowdhury

Abstract

Since the late 1980’s academicians have confirmed the presence of various forms of return regularities in stock returns. Two most well-known return regularities are contrarian and momentum profits. This paper – using monthly data for the period 2000 through 2016 – examines the presence of both contrarian profits and their sources in the Jordan stock market. The paper uses the methodology of Lo and MacKinlay (1990) and Jegadeesh and Titman (1995) to examine the presence of contrarian returns as well as the sources of such returns. Unlike other emerging markets where strong contrarian profits are found, Jordan market shows relatively weaker presence of contrarian profits. Moreover, time-series pattern – which is related to specific factors, is considered the main source of contrarian profits.

Suggested Citation

  • Malik R. Elhaj & Shah Chowdhury, 2018. "Presence of Contrarian Profits in the Jordan Stock Market," International Business Research, Canadian Center of Science and Education, vol. 11(10), pages 79-85, October.
    • Handle: RePEc:ibn:ibrjnl:v:11:y:2018:i:10:p:79-85
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    References listed on IDEAS

    as
    1. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    2. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
    3. Michael J. Cooper & Roberto C. Gutierrez & Allaudeen Hameed, 2004. "Market States and Momentum," Journal of Finance, American Finance Association, vol. 59(3), pages 1345-1365, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Jordan stock market; Amman stock exchange; contrarian profits; momentum profits; emerging markets;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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