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The January Effect: Evidence from Four Arabic Market Indices

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  • Omar Gharaibeh

Abstract

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.

Suggested Citation

  • Omar Gharaibeh, 2017. "The January Effect: Evidence from Four Arabic Market Indices," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(1), pages 144-150, January.
    • Handle: RePEc:hur:ijaraf:v:7:y:2017:i:1:p:144-150
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    References listed on IDEAS

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    1. Seyhun, H Nejat, 1988. " The January Effect and Aggregate Insider Trading," Journal of Finance, American Finance Association, vol. 43(1), pages 129-141, March.
    2. Cooper, Michael J. & McConnell, John J. & Ovtchinnikov, Alexei V., 2006. "The other January effect," Journal of Financial Economics, Elsevier, vol. 82(2), pages 315-341, November.
    3. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    4. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
    5. Ercan Balaban, 1995. "January Effect, Yes. What About Mark Twain Effect?," Discussion Papers 9509, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    7. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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    Cited by:

    1. Ibrahim Bozkurt & Mercan Hatipoglu, 2017. "The Relationship between Parasocial breakup and Investor Behaviours," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(3), pages 87-96, July.
    2. Gerardo ¡°Gerry¡± Alfonso Perez, 2018. "Does the January Effect Still Exists?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 50-73, January.

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