THE JANUARY EFFECT IN THE AFTERMATH OF FINANCIAL CRISIS OF 2008

Anja Tkalčević and Iskra Kalodera-Schmiedecke
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Anja Tkalčević: Zagreb School of Economics and Management
Iskra Kalodera-Schmiedecke: Zagreb School of Economics and Management

Ekonomski pregled, 2020, vol. 71, issue 6, 557-578

Abstract: The January effect is one of the most researched seasonal anomalies on the financial market. However, very few authors have looked into the January effect after the financial crisis of 2008 and even fewer have used data of individual companies instead of indexes in doing so. This paper intends to fill this void by analyzing returns of individual micro-cap companies on the three biggest stock markets New York Stock Exchange, London Stock Exchange and Tokyo Stock Exchange for a time period January 2010 to January 2017. Analysis of each individual company using simple averages and regression analysis documented that abnormally high rates of return on micro-capitalization stocks are no longer present in the stock market in the aftermath of the financial crisis of 2008. Further confirmation of disappearance of January effect is conditional on new longer datasets as they become available.

Keywords: stock price; anomalies; January effect (search for similar items in EconPapers)
JEL-codes: D53 E44 G14 (search for similar items in EconPapers)
Date: 2020
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