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2021
- ISIDORE Id: 10670/1.8d2c63...
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Exchanges, Securities Stock-exchange Securities exchanges Equity markets Commercial corners Stock markets Bulls and bears Corners, Commercial Exchanges, Stock ComputusCiter ce document
Sandrine Boulerne et al., « Is there a January effect on the equity markets of Central and Eastern European countries? », La Revue des Sciences de Gestion, ID : 10670/1.8d2c63...
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The January effect is a supposed calendar anomaly in which market returns during January are, on average, positive and higher than those observed in other months of the year. To detect the existence of the January effect, we conducted several tests on eleven stock market indices from Central and Eastern European countries: profitability with dummy variable, volatility with the asymmetric models EGARCH and GJR-GARCH, structural breaks, and the power ratio. We find that the January effect exists on the majority of the stock markets studied, allowing financial market players to integrate this calendar anomaly into their investment strategy.
