IDEAS home Printed from https://ideas.repec.org/p/nig/wpaper/0037.html

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

Author

Listed:
  • 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

Suggested Citation

  • Stilianos Fountas & Konstantinos N. Segredakis, 1999. "Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis," Working Papers 37, National University of Ireland Galway, Department of Economics, revised 1999.
    • Handle: RePEc:nig:wpaper:0037
    as

    Download full text from publisher

    File URL: http://www.economics.nuig.ie/resrch/paper.php?pid=42
    File Function: First version, 1999
    Download Restriction: no
    File URL: http://www.economics.nuig.ie/resrch/paper.php?pid=42
    File Function: Revised version, 1999
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nig:wpaper:0037. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Srinivas Raghavendra (email available below). General contact details of provider: https://edirc.repec.org/data/deucgie.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.