Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis

Stilianos Fountas and Konstantinos N. Segredakis
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Konstantinos N. Segredakis: Department of Economics, National University of Ireland, Galway

No 37, Working Papers from National University of Ireland Galway, Department of Economics

Abstract: We test for seasonal effects 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, we find very little evidence 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

JEL-codes: G14 (search for similar items in EconPapers)
Date: 1999, Revised 1999
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Published in Applied Financial Economics, Vol. 12, No. 4, 2002

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Journal Article: Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis (2002)
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