Skip to main content

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

Buy Article:

$47.00 plus tax (Refund Policy)

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.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Data/Media
No Metrics

Document Type: Research Article

Publication date: 2002-02-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more