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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Postal: St. Anthony's College, Newcastle Road, Galway
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Web page: http://economics.nuigalway.ie
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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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- Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
- Dritsakis, Nikolaos & Grose, Christos & Kalyvas, Lampros, 2006. "Performance aspects of Greek bond mutual funds," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 189-202.
- Moller, Nicholas & Zilca, Shlomo, 2008. "The evolution of the January effect," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 447-457, March.
- Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
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