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January Effect, Yes. What About Mark Twain Effect?

  • Ercan Balaban
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    File URL: http://www.tcmb.gov.tr/wps/wcm/connect/45844d87-a812-4983-9a2d-637fd6ae51cd/9509eng.pdf?MOD=AJPERES&CACHEID=45844d87-a812-4983-9a2d-637fd6ae51cd
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    Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Discussion Papers with number 9509.

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    Date of creation: 1995
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    Handle: RePEc:tcb:dpaper:9509
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    1. Reinganum, Marc R., 1983. "The anomalous stock market behavior of small firms in January : Empirical tests for tax-loss selling effects," Journal of Financial Economics, Elsevier, vol. 12(1), pages 89-104, June.
    2. Thaler, Richard H, 1987. "The January Effect," Journal of Economic Perspectives, American Economic Association, vol. 1(1), pages 197-201, Summer.
    3. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    4. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
    5. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    6. Muradoglu, Yaz Gulnur & Metin, Kivilcim, 1996. "Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis," European Journal of Operational Research, Elsevier, vol. 90(3), pages 566-576, May.
    7. Dyl, Edward A, 1977. "Capital Gains Taxation and Year-End Stock Market Behavior," Journal of Finance, American Finance Association, vol. 32(1), pages 165-75, March.
    8. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    9. Cadsby, C.B., 1988. "Canadian Calendar Anomalies And The Capital Asset Pricing Model," Working Papers 1988-12, University of Guelph, Department of Economics and Finance.
    10. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    11. Ercan Balaban, 1995. "Day of the week effects: new evidence from an emerging stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 2(5), pages 139-143.
    12. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184.
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