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Is the January effect still alive in the futures markets?

Author

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  • Juan Rendon
  • William Ziemba

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Abstract

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Suggested Citation

  • Juan Rendon & William Ziemba, 2007. "Is the January effect still alive in the futures markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(3), pages 381-396, September.
  • Handle: RePEc:kap:fmktpm:v:21:y:2007:i:3:p:381-396
    DOI: 10.1007/s11408-007-0049-3
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    File URL: http://hdl.handle.net/10.1007/s11408-007-0049-3
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    References listed on IDEAS

    as
    1. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    2. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    3. Barry, Christopher B. & Brown, Stephen J., 1985. "Differential Information and Security Market Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 407-422, December.
    4. Ritter, Jay R, 1988. " The Buying and Selling Behavior of Individual Investors at the Turn of the Year," Journal of Finance, American Finance Association, vol. 43(3), pages 701-717, July.
    5. Eytan, T Hanan & Harpaz, Giora, 1986. " The Pricing of Futures and Options Contracts on the Value Line Index," Journal of Finance, American Finance Association, vol. 41(4), pages 843-855, September.
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    Citations

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    Cited by:

    1. Betty Agnani & Henry Aray, 2011. "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 947-953.
    2. Floros, Christos & Salvador, Enrique, 2014. "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, vol. 37(C), pages 216-223.
    3. Suliman Zakaria Suliman Abdalla, 2015. "An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market," Working Papers 924, Economic Research Forum, revised Jun 2015.

    More about this item

    Keywords

    January effect; Futures markets; Small capitalized stocks; G12; G14;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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