Testing the Presence of the January Effect in a Developed Economy
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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Copyright (c) 2021 Sabahat Nisar, Rabia Asif
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