Month of the Year Effect and January Effect in Pre-WWI Stock Returns: Evidence from a Non-linear GARCH Model
AbstractThis paper investigates seasonal anomalies in the mean stock returns of Germany, the UK and the US during pre-World War I (WWI) period. The anomalies studied are month of the year effect and the January effect. The empirical research is conducted using a non-linear GARCH-t model, and monthly returns. Results obtained provide evidence of the January effect and the month of the year effect on the UK and the US returns. The German returns shows the month of the year effect but no January effect. Given the lack of tax treatment of capital gains/loss before 1914 by these countries, the results fail to provide merit to the tax-loss selling hypothesis of the January effect. Since we apply value-weighted returns in all cases, results obtained also fail to provide support for the small firm effect. Copyright @ 2001 by John Wiley & Sons, Ltd. All rights reserved.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 6 (2001)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/1076-9307/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Stefanescu, Razvan & Dumitriu, Ramona, 2013. "MOY effects in returns and in volatilities of the Romanian capital market," MPRA Paper 52474, University Library of Munich, Germany, revised 28 Oct 2013.
- Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Month-of-the-year effects on Romanian capital market before and after the adhesion to European Union," MPRA Paper 53069, University Library of Munich, Germany, revised 04 Apr 2013.
- Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy.
- Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Calendar anomalies in the Malaysian stock market," MPRA Paper 516, University Library of Munich, Germany.
- Selim Aren & Lutfihak Alpkan & Bulent Sezen & Ziya Alper Guncu, 2011. "Drivers of firms’ debt ratios: evidence from Taiwanese and Turkish firms," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(1), pages 53-70, May.
- Dumitriu, Ramona & Stefanescu, Razvan, 2013.
"Efecte Gone Fishin’ la Bursa de Valori din Bucureşti
[Gone Fishin’ Effects on the Bucharest Stock Exchange]," MPRA Paper 52473, University Library of Munich, Germany, revised 28 Sep 2013.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.