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January or April? Tests of the turn-of-the-year effect in the New Zealand stock market

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  • Mahendra Raj
  • David Thurston

Abstract

Turn-of-the-year effect has been observed in many markets throughout the world and various explanations have been suggested for this anomaly in the markets. The 'tax-loss selling' hypothesis is one such explanation that has received some support. The present study examines the validity of this hypothesis in the New Zealand context. Since the financial year in New Zealand ends in March there should be an April effect if the tax-loss selling theory is to hold. The study finds that there is neither a January effect nor an April effect in New Zealand. The small size and the poor liquidity of the market may be factors influencing this observation.

Suggested Citation

  • Mahendra Raj & David Thurston, 1994. "January or April? Tests of the turn-of-the-year effect in the New Zealand stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 1(5), pages 81-83.
    • Handle: RePEc:taf:apeclt:v:1:y:1994:i:5:p:81-83
    DOI: 10.1080/135048594358195
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    References listed on IDEAS

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    1. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    2. John S. Cotner & Nandkumar Nayar, 1993. "Seasonal effects in S&P 100 index option returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(5), pages 453-467, August.
    3. Khaksari, Shahriar & Bubnys, Edward L, 1992. "Risk-Adjusted Day-of-the-Week, Day-of-the-Month, and Month-of-the-Year Effects on Stock Indexes and Stock Index Futures," The Financial Review, Eastern Finance Association, vol. 27(4), pages 531-552, November.
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    Cited by:

    1. Sadia Anjum, 2020. "Impact of market anomalies on stock exchange: a comparative study of KSE and PSX," Future Business Journal, Springer, vol. 6(1), pages 1-11, December.
    2. Zainudin Arsad & J. Andrew Coutts, 1997. "Security price anomalies in the London International Stock Exchange: a 60 year perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 455-464.
    3. Andreas Georgantopoulos & Anastasios Tsamis, 2011. "Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 211-219.

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