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

Sulaiman Mouselli, Hazem Al Samman


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.

JEL Classifications: G11, G14, G19 

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