فحص إستراتيجية الانعكاس الاستثمارية طويلة الأجل في بورصة عمان باستخدام الطريقة الحسابية في حساب العوائد غير العادية التراكمية = Examination of the Long-Term Contrarian Investment Strategy in Amman Stock Exchange by Using the Arithmetic Method in Calculating the Cumulative Abnormal Returns

Abstract

This study aims at investigating the Long-term Overreaction Hypothesis (LORH) and the possibility of achieving abnormal returns, which contradict the efficient market hypothesis (EMH) as a result of applying the long-term contrarian investment strategy (LCIS) in Amman Stock Exchange (ASE) using arithmetic method in calculating the cumulative abnormal returns. A study sample consisting of 45 firms is selected from firms listed on ASE during the period 1987-2014. These firms were not delisted, merged or liquidated during the study period and their annual market capitalization was available. The study results confirmed that there is no statistically-significant evidence of contrarian in ASE using arithmetic method in calculating the cumulative abnormal returns, or whether the parametric or nonparametric methods are used. Therefore, ASE is efficient at the weak form of efficient market hypothesis (WFEMH) for the period 1987 -2005. During the period 2006-2014 the market was in- efficient at weak form due to statistically significant contrarian; therefore, abnormal returns can be achieved in accordance with the methodology used in this study. The study concluded that abnormal returns cannot be achieved during the period 1987-2005, and during the period 2006-2014 the market was inefficient at the weak form and there was a possibility of achieving abnormal returns. Further research might be conducted using other methodologies to confirm these results with regard to market efficiency. The study recommends that investors in (ASE) should not be encouraged to apply the long-term contrarian investment strategy because they cannot achieve significant abnormal returns in the long-run. Finally, it recommends further studies be conducted about the contrarian investment strategy in ASE and other emerging stock exchanges.