Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis
Stilianos Fountas () and
Applied Financial Economics, 2002, vol. 12, issue 4, 291-299
Seasonal effects are tested for in stock returns, the January effect anomaly and the tax-loss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period 1987-1995. Even though considerable evidence for seasonal effects applies in several countries, very little evidence is found in favour of the January effect and the tax-loss selling hypothesis. These results provide some support to the informational efficiency aspect of the market efficiency hypothesis.
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Working Paper: Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis (1999)
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