The Extended January Effect on London Stock Exchange

Razvan Stefanescu and Ramona Dumitriu
Additional contact information
Razvan Stefanescu: Dunarea de Jos University of Galati, Romania
Ramona Dumitriu: Dunarea de Jos University of Galati, Romania

Risk in Contemporary Economy, 2023, 104-114

Abstract: Since their discovery, many calendar anomalies experienced different types of changes. This paper explores the possibility of enlargement of the time interval specific to the January Effect on London Stock Exchange. We investigate the abnormal returns presence on an extended time interval that comprises the trading days from January, the second half of December and the first half of February. In this investigation we employ closing values of five indexes from London Stock Exchange for two periods: January 1998 – December 2010 and January 2011 – February 2023. We found high abnormal returns on two indexes in case of the first period and for all five indexes during the second period.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://rce.feaa.ugal.ro/images/stories/RCE2023/Stefanescu_Dumitriu.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ddj:fserec:y:2023:p:104-114

DOI: 10.35219/rce20670532153

Access Statistics for this article

More articles in Risk in Contemporary Economy from "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Gianina Mihai ().