|Author:||Lit, Ho-man Vienna|
|Title:||The January effect revisited : evidence around the world|
|Subject:||Hong Kong Polytechnic University -- Dissertations.|
Stock exchanges -- Forecasting.
Stock price forecasting.
|Department:||School of Accounting and Finance|
|Pages:||viii, 104 leaves : ill. ; 30 cm.|
|Abstract:||This is an explorative study that investigates two well-known calendar effects in the stock market, the January effect and the January Barometer, using data for the 22 most developed stock markets for the period 1982-2005. First, I revisited the January effect, in which small capitalization stocks that have performed poorly at the end of the year are observed to have an abnormally high return in January. My results showed that the January effect is strong in the American (US) stock market and in most developed stock markets. However, my results also indicated that significantly higher returns are not unique to the month of January. In addition, I also provide evidence that the January effect is much more persistent for small firms. Second, I revisited and extended the January Barometer (also called the other January effect) with a cross-country analysis. Often cited by financial journalists, the January Barometer is a finding which indicates that January returns have a predictive power for market returns for the following 11 months of the year. However, researchers have only provided evidence of the existence of the January Barometer in the US market. My study provides evidence of the January Barometer in two other countries: Finland and Switzerland, but very weak evidence is show across the international market. Interestingly, I found strong evidence that suggests that the market returns for April and October also predict market returns over the following 11 months of the year. These April and October effects are found in 7 and 9 markets in the study, respectively, but the two effects did not coexist in any of the markets. I also found that the January Barometer behaves quite similarly across large and small stocks and across both value and growth stocks.|
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