Seasonal Effects on Stock Returns: Applied study on the Iraqi Stock Market for the Period 2014-2018
This study aimed to detect the existence of evidence of seasonal anomalies such as, the day of the week effect and the month effect on stock returns in the Iraqi Stock Exchange (ISX). The daily closing prices of the Iraqi index, ISX Main 60, are used over the period 20-3-201 to 31-3-2018. The OLS and GARCH statistical methods are employed to investigate these effects on Iraqi stock returns. The results of the study showed that there is existent of the day of the week effect and month effect on the stock returns. The study concluded that the Iraqi stock market is inefficient at the weak level because of presence of these effects. Therefore, investors have an opportunity to exploit these anomalies and make profits.