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Register a new userTesting the Monthly Effect on Stock Returns in a Sample of Arab Stock Markets
اختبار الأثر الشهري على عوائد الأسهم في عينة من الأسواق المالية العربية
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تهدف هذه الدراسة إلى التحقق من وجود الأثر الشهري (أثر نصف الشهر و أثر دوران الشهر) في أسواق الأوراق المالية لمصر، الأردن، العراق و سورية و ذلك خلال الفترة الممتدة من بداية العام 2010 و حتى نهاية العام 2014 . تم تحليل العوائد اليومية لمؤشرات الأسواق المدروسة باستخدام اختبارات Mann-Whitney و T test بالإضافة إلى نماذج الانحدار (Regression Models).
This study investigates the Monthly Effect (Semi-Month Effect and Turn of the Month Effect) in the stock markets of Egypt, Jordan, Iraq and Syria, over the period from January 2010 to December 2014. The daily returns for each index were analyzed by using T test or Mann-Whitney test. Moreover, the regression analysis was also applied.
References used
AGATHEE, U., 2010 Semi-Monthly Effect: Evidence from the Mauritian Official Stock Market International Research Journal of Finance and Economics, Issue 14, ISSN 1450- 2887
AL-HAJIEH, H., REDHEAD, K., and RODGERS, T., 2009 Investor Sentiment and Islamic Calendar Anomaly Effect: A Case Study of the Impact of Ramadan on Islamic Middle Eastern Markets. Applied Research Working Paper Series
Al-JARRAH, I., KHAMEES, B., and QTEISHAT, I., 2011 The Turn of the Month Anomaly in Amman Stock exchange: Evidence and Implications Journal of Money Investment and Banking, ISSN 1450-288X, Issue 21, 2011
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The stock market conditions are a mirror reflecting the general
economic situation in the country ,and the stability of these markets
measure of the general economic policy of the country of success
,and then be trying to understand the fluctuatio
ns in stock prices and
their relationship to economic ,financial and monetary factors and
financial crises.
The research examines the effect of inflation on the returns of index
in Damascus Stock Exchange (DSE),the monthly data for the rate of
inflation for the Damascus market indices has been collected during
the period (2010-2013).
The researcher concluded that there is a weak positive relationship
but insignificant for inflation rate on the return of market index in(
DSE) during the study period.
This study sought to investigate the effect of price limits on the
volatility of stock returns on the Damascus Stock Exchange. Where
the study period divided into two periods the first test period
3/3/2009 and until 23/6/2011, the second test period 13/2/2011 until
30/3/2017. Using the model (1,1) GARCH.
This study aimed to examine the weak form efficiency of the
Damascus Securities Exchange (DSE). The study used the monthly
returns, adjusted for thin trading, of firms listed in the Damascus
Securities Exchange from 2009 until 2014 and applied var
ious tests
to examine the random walk behavior in returns: the unit root test,
the autocorrelation test, the runs test and the GARCH model. To
take the impact of the Syrian crisis into account when judging the
efficiency of the market, the study period was divided into three
periods, the pre-crisis period, the crisis period and the whole period.
The results revealed inability to reject the weak form efficient
market hypothesis for more than half of the studied firms. Also it
showed that the Syrian crisis, in general, has negatively affected the
efficiency of most of the studied firms.
This study sought to find out whether there is any significant relationship between
the in trading volume shares of Syrian companies listed in the Damascus market Securities
Exchange, and Volatility of stock returns monthly in that market, during t
he period 1-1-
2010 till 31-8-2014, and to discover what kind of that relationship (positive or negative
correlation) in order to give appropriate weight to them for interpreting fluctuations in the
volume of trading in the stock Damascus market Securities Exchange, or for predicting.
When using the method of Nonlinear regression analysis method GARCH(1,1) to process
the data related to Return on the stock in DSE we found that the relationship between the
trading volume shares and volatility of stock returns wasn't statistically significant. This
volatility in stock returns mustn't be taken into account as an important factor when trying
to explain the reasons for fluctuations in trading volume market or when predicting.
This paper reports a new variable in many aspects, including
knowledge of accounting, Due to the emergence of a changing
technological developments, a this research comes as an attempt to
study the relationship between the quality and presentation
of the
information disclosed electronically in companies listed on the Arab
stock markets, the benefit of accounting information.
The research found through a questionnaire addressed to brokerage
firms in the Arab financial markets under consideration for being one
of the beneficiaries of the Electronic accounting disclosure to a
positive relationship between the presentation and the quality of
information on the Internet to contribute to the benefit of the studied
companies and accounting information.
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