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

Sulaiman Mouselli and Hazem Al-Samman
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Sulaiman Mouselli: Faculty of Business Administration at Arab International University, Faculty of Economics, Damascus University, Syria
Hazem Al-Samman: Department of Accounting and Finance, College of Commerce and Business, Dhofar University, Dhofar, Sultanate of Oman

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 2, 573-577

Abstract: This paper explores the existence of the month-of-the-year effect in a newly established exchange of Damascus securities exchange. It employs ordinary least squares estimates 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 and Solomon (2013)

Keywords: Stock Market Efficiency; Calendar Seasonality; Month-of-the-year Effect; Damascus Securities Exchange (search for similar items in EconPapers)
JEL-codes: G11 G14 G19 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2016-02-29

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