Revisiting the January effect anomaly: evidence from international stock markets

Samuel Tabot Enow
Additional contact information
Samuel Tabot Enow: Research Associate, The IIE VEGA School

International Journal of Research in Business and Social Science (2147-4478), 2024, vol. 13, issue 4, 245-251

Abstract: A recurring theme in the literature and discussion of stock market analysis is the concept of the January effect which essentially implies buy in December and sell in January. The January effect is based on the perceived seasonality trend where short term investors hope to take advantage of the arbitrage opportunity between December and January. However, this perceived anomaly continues is seen as a myth and has been strongly rejected by many market participants in the current dispensation. The purpose of this paper was to investigate the January effect in the Nikkei 225, JSE, CAC 40, DAX, and the NASDAQ Index from February 2019 to February 2024. A F-test statistics was used to explore the phenomenon. The findings indicated that there is no significant difference between the realised returns in January and those of the other month for the most recent five years. This led to the conclusion that, while the January effect may have been observed, it is no longer evident in financial markets, hence market participants should avoid using this type of arbitrage approach because it may result in massive losses Key Words:January effect, financial markets, F-statistics test; Efficiency Market Hypothesis

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.ssbfnet.com/ojs/index.php/ijrbs/article/view/3273/2332 (application/pdf)
https://doi.org/10.20525/ijrbs.v13i4.3273 (text/html)

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:rbs:ijbrss:v:13:y:2024:i:4:p:245-251

Access Statistics for this article

International Journal of Research in Business and Social Science (2147-4478) is currently edited by Prof.Dr.Umit Hacioglu

More articles in International Journal of Research in Business and Social Science (2147-4478) from Center for the Strategic Studies in Business and Finance Editorial Office,Baris Mah. Enver Adakan Cd. No: 5/8, Beylikduzu, Istanbul, Turkey. Contact information at EDIRC.
Bibliographic data for series maintained by Umit Hacioglu ().