The Effect of Anomaly in Monthly Trading in Amman Stock Exchange over the Period 2002-2006

Idries M. Al-Jarrah, Basheer M. Khamees, Fayez Salim Haddad


This study employs highly-structured regression models to examine the existence of the monthly trading effect in Amman Stock Exchange (ASE) over the 2002-2006 period. Utilizing monthly returns of 231 stocks listed in ASE, we present strong evidence that supports the existence of monthly effect in ASE over the study period. In addition, the findings on individual stock returns revealed the subsistence of this time pattern with insignificant changes over the study period. These findings suggest that market participants in ASE seemed to be not able to learn from past experience trading strategies to exploit such calendar when making their investment decisions. Our results are somehow similar to the findings of other studies conducted earlier on ASE and conform to the findings of other studies on other emerging capital markets. These findings clearly go against the Weak-Form level of market efficiency.


Monthly Effect Anomaly; Amman Stock Exchange ASE, Anomalies; Calendar Effect, Efficient Market Hypothesis. JEL Classification Numbers: K22, G28, C22.

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