Researchers

Dr. Sulaiman Mouselli

Published in

Al Baath University Journal, Vol. 40, No. 103, 2018

Abstract

This research explores the existence of the day-of-the-year effect at Damascus Securities Exchange using multiple regression based on Ordinary Least Squares Estimates with conditional and unconditional heteroscedasticity for the whole trading period from April 2017 to May 2018. This paper confirms the existence of day-of-the-week effect, which is Sunday, where positive and significant returns during incurred. However, the high transaction costs in the exchange do not allow them to develop profitable investment strategy that enable them to exploit this phenomenon, which indicates the absence of pricing efficiency in the exchange according to the weak form of, market efficiency. This phenomenon may be explained by behavioural factors where investors become optimistic in the first trading day of the week, which lead them to buy stocks on Sunday and push stock prices upward.

Key words: Calendar anomalies, day-of-the-week effect, Damascus securities Exchange.

Link to read full paper

magazine.albaath-univ.edu.sy/1/pages/2018/2/103.pdf