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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 Segredakis

Abstract

Seasonal effects are tested for 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, very little evidence is found 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 Segredakis, 2002. "Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 291-299.
    • Handle: RePEc:taf:apfiec:v:12:y:2002:i:4:p:291-299
    DOI: 10.1080/09603100010000839
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    JEL classification:

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

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