This study examines calendar anomalies in Amman Stock Exchange (ASE) over the period [2002][2003][2004][2005][2006][2007][2008][2009][2010][2011]. Specifically, we investigate the day of the week, month of the year, and turn of the month effects. We use monthly and daily returns of the free float market index. Our findings indicate that returns are significantly higher on Sundays (the first day of trading of the week) and Thursdays (the last trading day of the week) than other days of the week. Moreover a highly significant January effect exists. Finally, we find that most returns happen on the turn of the month rather than during the rest of it. These results are useful to Jordanian investors who can formulate their investment strategies accordingly.Keywords: efficient market hypothesis, alendar anomalies, day of the week effect, January effect, turn of the month effect, Amman stock exchange
This study examines the relationship between systematic liquidity risk and stock price reaction to large 1-day price changes (or shocks). We base our analysis on a yearly updated constituents list of the FTSE All share index. Our overall results are consistent with the price continuation hypothesis, which suggests that positive (negative) shocks will be followed by positive (negative) abnormal returns. However, further analysis indicates that stocks with low systematic liquidity risk react efficiently to both positive and negative shocks, whereas stocks with high systematic liquidity risk underreact to both positive and negative shocks. Our results are valid irrespective of various robustness tests such as size of the shock, size of the firm, month-of-the-year and day-of-the-week effects. We conclude that trading on price patterns following shocks may not be profitable, as it involves taking substantial liquidity exposure.
The purpose of this study is to analyze the behavior, the day-of-the-week regularities and the macroeconomic determinants of aggregate market liquidity of emerging stock markets through studying Amman Stock Exchange (ASE). The study investigates all the stocks traded in ASE over the period [2002][2003][2004][2005][2006][2007][2008][2009][2010]. Aggregate market liquidity is measured by several proxies, each reflecting a certain dimension. It is calculated as an average of individual stock liquidity proxies and as a sum of trading activity measures. Aggregate market liquidity shows a fluctuating pattern throughout the study period. It gets worse in the mid-week. Spread and depths show their maximum values on Mondays and Sundays, respectively. The trading activity reaches its minimum on Sunday and its maximum on Thursday. Major macroeconomic factors significantly affect aggregate market liquidity, though; aggregate market return and volatility exercise a larger effect. This study is the first to conduct a comprehensive analysis of aggregate market liquidity in an emerging stock market.
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