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Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis

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Author Info

  • Stilianos Fountas
  • Konstantinos N. Segredakis

    (Department of Economics, National University of Ireland, Galway)

Abstract

We 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 Info

Paper provided by National University of Ireland Galway, Department of Economics in its series Working Papers with number 37.

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Date of creation: 1999
Date of revision: 1999
Publication status: Published in Applied Financial Economics, Vol. 12, No. 4, 2002
Handle: RePEc:nig:wpaper:0037

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Cited by:
  1. 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.
  2. 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.
  3. Moller, Nicholas & Zilca, Shlomo, 2008. "The evolution of the January effect," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 447-457, March.
  4. 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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