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The January effect and monthly seasonality in the All Gold Index on the Johannesburg Stock Exchange 1987-1997

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  • J. Andrew Coutts
  • Mohamed Sheikh

Abstract

This paper investigates the existence of the January effect and monthly seasonality in the All Gold Index on the Johannesburg Stock Exchange over an 11 year period, 5 January 1987 through 15 May 1997, and for three subsamples of equal length. The results are in severe contrast to the international evidence documented for the stock markets of many other countries, be they developed or emerging markets; there appears to be no January effect or monthly seasonality present in the All Gold Index over the sample period. Although this is perfectly consistent with the notion of market efficiency, it is suggested that the lack of any detectable monthly seasonality, may, in part, be due to the particular market microstructure or operational procedures of the Johannesburg Stock Exchange, consequently it is suggested that further research is required in this area.

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  • J. Andrew Coutts & Mohamed Sheikh, 2000. "The January effect and monthly seasonality in the All Gold Index on the Johannesburg Stock Exchange 1987-1997," Applied Economics Letters, Taylor & Francis Journals, vol. 7(8), pages 489-492.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:8:p:489-492
    DOI: 10.1080/13504850050033229
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    Cited by:

    1. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
    2. Sulaiman Mouselli & Hazem Al-Samman, 2016. "An Examination of the Month-of-the-year Effect at Damascus Securities Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 573-577.
    3. Górska, Anna & Krawiec, Monika, 2015. "Calendar Effects in the Market of Crude Oil," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 15(30), pages 1-9, December.

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