The Other January Effect: International Evidence

This paper investigates the predictive power of stock market returns in January for the subsequent eleven months' returns across 19 countries, thereby contributing to the literature on stock market seasonalities. Only two out of 19 countries' stock markets exhibit a robust Other January Eect. In light of this evidence, we conclude that the Other January Eect is not an international phenomenon.

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Year of publication:	2009-04
Authors:	Bohl, Martin T. ; Salm, Christian A.
Institutions:	Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät
Subject:	Stock market efciency \| Other January Efect \| Stock market anomalies

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Extent:	application/pdf
Series:	CQE Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0809 15 pages
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008511768