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A Fresh Look at Seasonal Anomalies: An International Perspective

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Author Info

  • Ali F. Darrat

    (College of Business, Louisiana Tech University, U.S.A.)

  • Bin Li

    (Griffith Business School, Griffith University, Australia)

  • Benjamin Liu

    (Griffith Business School, Griffith University, Australia)

  • Jen Je Su

    (Griffith Business School, Griffith University, Australia)

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    Abstract

    Under globalization and international market integration, exploring seasonality in global equity markets is imperative for portfolio managers and individual investors to timely reconstruct their portfolios and for firms to optimally schedule the issue of either new shares or IPOs. Prior research supports the presence of the January effect, particularly in the US stock market. However, in the context of international stock markets, the evidence is less compelling and often contradictory. This paper provides a fresh look at monthly seasonality in 34 international equity markets over the period from January 1988 to December 2010. Unlike prior findings, we do not find a significant January effect except perhaps for 3 markets. Instead, we find significantly larger and positive anomalies across the vast majority of these markets for December and April. The results further suggest the presence of significant negative anomalies for June, August, and September across most global markets in the sample.

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    Bibliographic Info

    Article provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.

    Volume (Year): 10 (2011)
    Issue (Month): 2 (August)
    Pages: 93-116

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    Handle: RePEc:ijb:journl:v:10:y:2011:i:2:p:93-116

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    Postal: 100 Wenhwa Road, Seatwen, Taichung
    Web page: http://www.ijbe.org/
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    Related research

    Keywords: international stock markets; market efficiency; seasonal anomaly; monthly effect;

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    References

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    1. Schultz, Paul, 1985. " Personal Income Taxes and the January Effect: Small Firm Stock Returns before the War Revenue Act of 1917: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 333-43, March.
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    Cited by:
    1. Matthew C. Mitchell & Muhamad Iqbal Mohd Rafi & Sean Severe & Jeffrey A. Kappen, 2014. "Conventional Vs. Islamic Finance: The Impact Of Ramadan Upon Sharia-Compliant Markets," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 5(1).
    2. Priit Sander & Risto Veiderpass, 2012. "Testing the Turn-of-the-Year Effect on Baltic Stock Exchanges," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 145-154, December.

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