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The Other Month Effect: Some Evidence from the Central and Eastern European Markets

Author

Listed:
  • Yi-Chieh Wen

    (Continuing Education, The Chinese Culture University, Taiwan)

  • Bin Li

    (Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Queensland, Australia)

Abstract

January returns on stock markets can be used as a barometer for the subsequent 11-month holding period returns as documented by Cooper et al. (2006). We examine this apparent anomaly and analyze the effects of other holding periods of 1, 3, and 6 months in six Central and Eastern European transition economies from January 1991 through December 2013. Our results do not support the presence of the other January effect (OJE) in five of the six markets. Instead, the results reveal significant anomalies in non-January months and that such effects vary across markets. This latter evidence might reflect different characteristics in these economies, including diverse levels of market efficiency, local risk factors, and portfolio management among others. Furthermore, we construct a trading rule using the other month effect to illustrate the possibility of developing profitable investment strategies to earn abnormal returns.

Suggested Citation

  • Yi-Chieh Wen & Bin Li, 2016. "The Other Month Effect: Some Evidence from the Central and Eastern European Markets," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 66(1), pages 107-124, March.
    • Handle: RePEc:aka:aoecon:v:66:y:2016:i:1:p:107-124
    Note: We thank, without implicating, Ali F. Darrat and the two anonymous reviewers for many useful comments.
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    Citations

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    Cited by:

    1. Sari Pekkala Kerr & William R. Kerr, 2021. "Whose Job Is It Anyway? Coethnic Hiring in New US Ventures," Journal of Human Capital, University of Chicago Press, vol. 15(1), pages 86-127.
    2. Chen, Zhongdong & Daves, Phillip R., 2018. "The January sentiment effect in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 94-104.

    More about this item

    Keywords

    market efficiency; calendar anomalies; other January effect; other month effect;
    All these keywords.

    JEL classification:

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

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