A Fresh Look at Seasonal Anomalies: An International Perspective
AbstractUnder 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 InfoArticle 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)
international stock markets; market efficiency; seasonal anomaly; monthly effect;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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