Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis

Seasonal effects are tested for 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, very little evidence is found 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.