January Effect in FX Market

To study the January effect, four major pairs including EURUSD, USDJPY, GBPUSD and USDCHF during January 2002 to November 2012 are investigated. By calculating average daily return for each month, 12 series are sorted out from January to December in 2002-2012. Initial finding are offering that January has brought the least risk in case of GBPUSD but there is no any other sign for higher/less return or risk in case of other pairs. Also to survey if there is any significant dependency of other months on January, Regression (by Ordinary Least Square) and Resample Bootstrapping are applied but statistically nothing is proved to show January's daily fluctuations may have any effect on other months. It's also confirmed by weak autocorrelation on EURUSD, USDJPY, GBPUSD and USDCHF