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

Year 2016, Volume: 6 Issue: 2, 573 - 577, 01.04.2016

Sulaiman Mouselli Hazem Al Samman

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.

Year 2016, Volume: 6 Issue: 2, 573 - 577, 01.04.2016

Sulaiman Mouselli Hazem Al Samman

Abstract

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Details

Other ID JA67VR78GU
Journal Section Research Article
Authors

Sulaiman Mouselli This is me

Hazem Al Samman This is me

Publication Date April 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 2

Cite

APA Mouselli, S., & Samman, H. A. (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.
AMA Mouselli S, Samman HA. An Examination of the Month-of-the-year Effect at Damascus Securities Exchange. IJEFI. April 2016;6(2):573-577.
Chicago Mouselli, Sulaiman, and Hazem Al Samman. “An Examination of the Month-of-the-Year Effect at Damascus Securities Exchange”. International Journal of Economics and Financial Issues 6, no. 2 (April 2016): 573-77.
EndNote Mouselli S, Samman HA (April 1, 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.
IEEE S. Mouselli and H. A. Samman, “An Examination of the Month-of-the-year Effect at Damascus Securities Exchange”, IJEFI, vol. 6, no. 2, pp. 573–577, 2016.
ISNAD Mouselli, Sulaiman - Samman, Hazem Al. “An Examination of the Month-of-the-Year Effect at Damascus Securities Exchange”. International Journal of Economics and Financial Issues 6/2 (April 2016), 573-577.
JAMA Mouselli S, Samman HA. An Examination of the Month-of-the-year Effect at Damascus Securities Exchange. IJEFI. 2016;6:573–577.
MLA Mouselli, Sulaiman and Hazem Al Samman. “An Examination of the Month-of-the-Year Effect at Damascus Securities Exchange”. International Journal of Economics and Financial Issues, vol. 6, no. 2, 2016, pp. 573-7.
Vancouver Mouselli S, Samman HA. An Examination of the Month-of-the-year Effect at Damascus Securities Exchange. IJEFI. 2016;6(2):573-7.