An Examination of the Month-of-the-year Effect at Damascus Securities Exchange


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Authors

  • Sulaiman Mouselli Arab International University, Faculty of Business Administration
  • Hazem Al Samman Dhofar University, College of Commerce and Business, Department of Accounting and Finance,

Abstract

This paper explores the existence of the month-of-the-year effect in a newly established exchange of Damascus Securities Exchange (DSE). It employs Ordinary Least Squares Estimates (OLS) and dummy variables for the whole working period of the exchange from 2010 to 2015. This paper confirms the existence of positive and significant returns during May compared to remaining months. Average returns in May are six percent higher than average returns during the rest of the year. A possible explanation for May effect is dividend month premium suggested by Hartzmark & Solomon  (2013).Keywords: stock market efficiency, calendar seasonality, month-of-the-year effect, Damascus Securities Exchange.JEL Classifications: G11, G14, G19 

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Author Biographies

Sulaiman Mouselli, Arab International University, Faculty of Business Administration

Dean of the Faculty of Business Administration at Arab International University

Hazem Al Samman, Dhofar University, College of Commerce and Business, Department of Accounting and Finance,

Assistant Professor in Accounting & Finance Department

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Published

2016-04-19

How to Cite

Mouselli, S., & Al Samman, H. (2016). An Examination of the Month-of-the-year Effect at Damascus Securities Exchange. International Journal of Economics and Financial Issues, 6(2), 573–577. Retrieved from https://econjournals.com/index.php/ijefi/article/view/1668

Issue

Vol. 6 No. 2 (2016)

Section

Articles