Testing the Presence of the January Effect in a Developed Economy

Authors

  • Sabahat Nisar University of Lahore, Lahore, Pakistan
  • Rabia Asif Lahore College for Women University, Lahore

DOI:

https://doi.org/10.32350/jfar.0302.01

Keywords:

Efficient Markets, Selling Hypothesis, January Effects, Stock Return

Abstract

The aim of the current paper 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 main results support the existence of seasonal effects and particularly of the January effect for our sample country. Stronger evidences (in terms of statistical significance) for April, July, August, September and November. The obtained results also suggest evidence in favor of the tax-loss selling hypothesis.

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Published

2021-12-27

How to Cite

Nisar, S., & Asif, R. (2021). Testing the Presence of the January Effect in a Developed Economy. Journal of Finance and Accounting Research, 3(2), 1–17. https://doi.org/10.32350/jfar.0302.01

Issue

Vol. 3 No. 2: Fall 2021

Section

Articles

License

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