This study examines the existence of January effect in four Arabic market indices for the recent time period, February 1988 to May 2014. These market indices include Jordan, Egypt, Lebanon and Morocco. Using the OLS and GARCH (1, 1) approach, the results of this paper indicate that January returns provide positive profits and highly statistical significant, especially in Jordanian and Moroccan market indices. For the Egyptian and Lebanese market indices, the current study documents a large economic profit in January month. These results are useful to investors who can formulate their investment strategies accordingly. This study is the first to conduct a comprehensive January effect analysis of four Arabic market indices in an emerging stock market. The results of this paper support literature that indicates the presence of the January effect in market indices returns and it is still providing a serious challenge to the efficient market hypothesis.
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