EFFICIENT MARKET HYPOTHESIS AND THECALENDAR EFFECT ON THE RETURNS OF SHARES: EVIDENCE FROM THE AMMAN STOCK EXCHANGE

This research aims at testing the calendar effect on the returns of shares in the ASE, especially the Ramadan month the January effects. The research was applied on a sample of shares of (13) companies listed in the Amman Stock Exchange, from different sectors, for the year 2006 in comparison with year 2015. Empirical results revealed significant negative impact of Ramadan on returns and significant positive impact of January on returns. These findings are of utmost interest amidst investors, researchers and practitioners.