Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis
AbstractWe test for seasonal effects 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 1987-1995. Even though considerable evidence for seasonal effects applies in several countries, we find very little evidence 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
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Bibliographic InfoPaper provided by National University of Ireland Galway, Department of Economics in its series Working Papers with number 37.
Date of creation: 1999
Date of revision: 1999
Publication status: Published in Applied Financial Economics, Vol. 12, No. 4, 2002
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Other versions of this item:
- Stilianos Fountas & Konstantinos Segredakis, 2002. "Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 291-299.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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