Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis
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
|Date of creation:||1999|
|Date of revision:||1999|
|Publication status:||Published in Applied Financial Economics, Vol. 12, No. 4, 2002|
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