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Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis

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  • Stilianos Fountas
  • Konstantinos N. Segredakis

    (Department of Economics, National University of Ireland, Galway)

Abstract

We test for seasonal effects 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, we find very little evidence 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

Suggested Citation

  • Stilianos Fountas & Konstantinos N. Segredakis, 1999. "Emerging Stock Markets Return Seasonalities: the January Effect and the Tax-Loss Selling Hypothesis," Working Papers 37, National University of Ireland Galway, Department of Economics, revised 1999.
    • Handle: RePEc:nig:wpaper:0037
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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