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The Extended January Effect on London Stock Exchange

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  • Razvan Stefanescu

    (Dunarea de Jos University of Galati, Romania)

  • Ramona Dumitriu

    (Dunarea de Jos University of Galati, Romania)

Abstract

Since their discovery, many calendar anomalies experienced different types of changes. This paper explores the possibility of enlargement of the time interval specific to the January Effect on London Stock Exchange. We investigate the abnormal returns presence on an extended time interval that comprises the trading days from January, the second half of December and the first half of February. In this investigation we employ closing values of five indexes from London Stock Exchange for two periods: January 1998 – December 2010 and January 2011 – February 2023. We found high abnormal returns on two indexes in case of the first period and for all five indexes during the second period.

Suggested Citation

  • Razvan Stefanescu & Ramona Dumitriu, 2023. "The Extended January Effect on London Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 104-114.
    • Handle: RePEc:ddj:fserec:y:2023:p:104-114
    DOI: https://doi.org/10.35219/rce20670532153
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    References listed on IDEAS

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