Seasonal effects are tested for in stock returns, the January effect anomaly and the tax-loss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period 1987-95. Even though considerable evidence for seasonal effects applies in several countries, very little evidence is found in favour of the January effect and the tax-loss selling hypothesis. These results provide some support to the informational efficiency aspect of the market efficiency hypothesis. Copyright 2002 by Taylor and Francis Group
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Volume (Year): 12 (2002) Issue (Month): 4 (April) Pages: 291-99 Download reference. The following formats are available: HTML
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