Universal Journal of Accounting and Finance Vol. 4(5), pp. 157 - 165
DOI: 10.13189/ujaf.2016.040502
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Seasonality of Cross-sectional Return Volatility in the Jordan Stock Market

Malik R. Elhaj ^*, Shah Saeed H. Chowdhury
Accounting & Finance Department, Prince Mohammad Bin Fahd University (PMU), Kingdom of Saudi Arabia

ABSTRACT

One important gap in finance literature is the seasonality in volatility. Just like the seasonality in stock returns it is possible that volatility may also have a pattern. Time series volatility is related to previous values and it is sticky in nature. Thus, detection of seasonality in volatility may be difficult. Therefore, we use cross-sectional volatility from daily returns of a cross-section of firms (in our case, sectors) and examine the relationship between daily cross-sectional volatility and day of the week, turn of the month and turn of the year. This paper examines how the cross-sectional volatility of the Jordanian stock market may change due to the day of the week, turn of the month and turn of the year. Results show strong evidence of reduction of volatility on Thursday compared to Sunday, and significantly lower volatility on the first three days of the month compared to the third day before the last day of the month. Thus, this finding is important for investors to better understand risk.

KEYWORDS
Cross-sectional Volatility, Amman Stock Market, Capital Market, Seasonality of Volatility, Emerging Markets.

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Malik R. Elhaj , Shah Saeed H. Chowdhury , "Seasonality of Cross-sectional Return Volatility in the Jordan Stock Market," Universal Journal of Accounting and Finance, Vol. 4, No. 5, pp. 157 - 165, 2016. DOI: 10.13189/ujaf.2016.040502.

(b). APA Format:
Malik R. Elhaj , Shah Saeed H. Chowdhury (2016). Seasonality of Cross-sectional Return Volatility in the Jordan Stock Market. Universal Journal of Accounting and Finance, 4(5), 157 - 165. DOI: 10.13189/ujaf.2016.040502.