The Other January Effect: International Evidence

Martin T. Bohl and Christian A. Salm

No 809, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

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

Keywords: Stock market efciency; Other January Efect; Stock market anomalies (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2009-04
New Economics Papers: this item is included in nep-cfn
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Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:0809

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