Anomalies in US equity markets: a re-examination of the January effect

Authors: Mehdian S.; Perry M. J.

Source: Applied Financial Economics, Volume 12, Number 2, 1 February 2002 , pp. 141-145(5)

Publisher: Routledge, part of the Taylor & Francis Group

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content

Abstract:

This study investigates the January effect in US equity markets using three market indexes from 1964-1998: Dow Jones Composite, NYSE Composite and the SP500. Chow tests for structural stability indicate that the estimated parameters in an equation testing for monthly seasonal effects in the stock market are not stable over time. In the 1964-1987 sample period it is found that January returns are positive and significant in all three stock market indexes. After 1987, January returns are positive but not statistically different from zero. The results therefore provide no statistical support for the January effect in US equity markets in the post-1987 market crash period.

Language: English

Document Type: Research article

The full text electronic article is available for purchase. You will be able to download the full text electronic article after payment.

$38.49 plus tax

 

OR

Back to top

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content
Page Help Click here for Page Help
Shopping cart
Tools
Sign in






Need to register?
Sign up here
Text size: A | A | A | A