The Other January Effect: international evidence

Martin Bohl and Christian Salm

The European Journal of Finance, 2010, vol. 16, issue 2, 173-182

Abstract: This paper investigates the predictive power of stock market returns in January for the subsequent 11 months' returns across 19 countries, thereby contributing to the literature on stock market seasonalities. Only 2 out of 19 countries' stock markets exhibit a robust Other January Effect. In the light of this evidence, we conclude that the Other January Effect is not an international phenomenon.

Keywords: stock market efficiency; other January effect; stock market anomalies (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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DOI: 10.1080/13518470903037953

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