Testing the Presence of the January Effect in Developed Economies

Sabahat Nisar, Rabia Asif and Amjad Ali

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of the current research is to test the efficient market hypothesis keeping in view the January effect for developed economies, namely the United Kingdom. By incorporating daily return data from 2009 till 2020, the robust econometric modeling discloses the presence of anomalous patterns in UK stock returns around the year. Key results confirm the presence of seasonal effects predominantly the January effect for the sample country. Stronger evidence (in terms of statistical significance) for April, July, August, September, and November are obtained. The obtained results also propose confirmation in favor of the tax-loss selling hypothesis. Further, the presence of the January effect anomaly perceived in this research was unlikely to provide lucrative arbitrage because abnormal returns were not found to be large enough to offset the associated transactions costs.

Keywords: Efficient Markets; Tax Selling Hypothesis; January Effects; Stock Returns (search for similar items in EconPapers)
JEL-codes: H2 H54 (search for similar items in EconPapers)
Date: 2021-10
New Economics Papers: this item is included in nep-pbe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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