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Does January Effect Exist in Jordan Pre and Post the 2008 Global Financial Crisis

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Listed:
  • Ahmad Fares Alqisie
  • Hamdan Moh'd Al- Hiyasat
  • Belal Rabah Shammout

Abstract

The aim of this paper lies in investigating the existence of the January effect at the Amman Stock Exchange (ASE) pre and post the 2008 global financial crisis. For this purpose, the monthly returns of all stock prices in (ASE) have been calculated and analyzed for the period January 2000-December, 2018. The said analysis covered three periods as follows- the first one is the whole period; the second period is from January 2000-December 2007, while the third period is from January 2009-December 2018. Regression models with dummy variables and monthly returns of all shares have been used. The results indicated that the January effect exists at (ASE) during the whole period and the period before the global crisis, while the January effect after the global crisis 2008 does not exist at (ASE). Conversely, the results showed the existence of the December effect. Therefore, there is an opportunity for investors at (ASE) to benefit from these findings.

Suggested Citation

  • Ahmad Fares Alqisie & Hamdan Moh'd Al- Hiyasat & Belal Rabah Shammout, 2019. "Does January Effect Exist in Jordan Pre and Post the 2008 Global Financial Crisis," Modern Applied Science, Canadian Center of Science and Education, vol. 13(9), pages 1-65, September.
    • Handle: RePEc:ibn:masjnl:v:13:y:2019:i:9:p:65
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    References listed on IDEAS

    as
    1. Terence Mills & J. Andrew Coutts, 1995. "Calendar effects in the London Stock Exchange FT-SE indices," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 79-93.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    3. Ogden, Joseph P, 1990. "Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects," Journal of Finance, American Finance Association, vol. 45(4), pages 1259-1272, September.
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    More about this item

    JEL classification:

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

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