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Revisiting the January effect anomaly: evidence from international stock markets

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  • Samuel Tabot Enow

    (Research Associate, The IIE VEGA School)

Abstract

A recurring theme in the literature and discussion of stock market analysis is the concept of the January effect which essentially implies buy in December and sell in January. The January effect is based on the perceived seasonality trend where short term investors hope to take advantage of the arbitrage opportunity between December and January. However, this perceived anomaly continues is seen as a myth and has been strongly rejected by many market participants in the current dispensation. The purpose of this paper was to investigate the January effect in the Nikkei 225, JSE, CAC 40, DAX, and the NASDAQ Index from February 2019 to February 2024. A F-test statistics was used to explore the phenomenon. The findings indicated that there is no significant difference between the realised returns in January and those of the other month for the most recent five years. This led to the conclusion that, while the January effect may have been observed, it is no longer evident in financial markets, hence market participants should avoid using this type of arbitrage approach because it may result in massive losses Key Words:January effect, financial markets, F-statistics test; Efficiency Market Hypothesis

Suggested Citation

  • Samuel Tabot Enow, 2024. "Revisiting the January effect anomaly: evidence from international stock markets," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 13(4), pages 245-251, June.
    • Handle: RePEc:rbs:ijbrss:v:13:y:2024:i:4:p:245-251
    DOI: 10.20525/ijrbs.v13i4.3273
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    References listed on IDEAS

    as
    1. Samuel Tabot Enow, 2022. "Modelling Stock Market Prices Using the Open, High and Closes Prices. Evidence from International Financial Markets," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 15(3), pages 52-59, December.
    2. Adrian-Gabriel Enescu, 2022. "Assessment Of Day-Of-The-Week Effect And Other Stock Market Anomalies: Romanian Evidence," Journal of Smart Economic Growth, , vol. 7(3), pages 1-12, September.
    3. Lisa R. Anderson & Jeffrey R. Gerlach & Francis J. DiTraglia, 2005. "Yes, Wall Street, There Is a January Effect! Evidence from Laboratory Auctions," Working Papers 15, Economics Department, William & Mary.
    4. Loc Dong Truong & H. Swint Friday, 2021. "The January Effect and Lunar New Year Influences in Frontier Markets: Evidence from the Vietnam Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 11(2), pages 28-34.
    5. Samuel Tabot ENOW, 2023. "A Non-linear Dependency Test for Market Efficiency: Evidence from International Stock Markets," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(1), pages 1-12.
    Full references (including those not matched with items on IDEAS)

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