The January Effect Anomaly Reexamined In Stock Returns

Abstract

We examined the presence of January effect in international stock returns for the recent time period, January 1997 to December 2014.  Our results provide conclusive evidence that January effect no longer exists in stock returns during recent years.  These results were remarkably consistent when we investigated existence of January effect by sub-periods separating the time period of 2008-09 when stock market largely plummeted internationally.  The results of this study support growing literature that indicates January effect does not exist anymore in stock returns.