Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis

Seasonal effects are tested for 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, very little evidence is found 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.