Abstract
Virtually all previous studies of seasonal variation in stock returns have used mean/variance analysis despite it being well documented that stock returns in developed and emerging markets are non-normally distributed. This paper details the distributional characteristics of emerging Amman financial market returns. Further more, it uses stochastic dominance and parametric analyses to investigate the turn-of-the-year and the-week effects from 1978 to 2001. Results indicate that returns of Amman financial market exhibit substantial deviation from normality. And parametric analysis tests show there is January and week effects. However, stochastic dominance results indicate that January and week effects are not exist in the AFM. This implies that the results of parametric analysis are being driven by violations of parametric assumptions.
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