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

The authors test for saeasonal effects in stock market 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, the authors 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.