The other January effect in the in the Central and Eastern Europe Stock Markets
| Autor: | BOULERNE, SANDRINE, Nivoix, Sophie |
|---|---|
| Přispěvatelé: | Val de Loire Recherche en Management (VALLOREM), Université d'Orléans (UO)-Université de Tours, CEntre de REcherche en GEstion - EA 1722 (CEREGE), Institut d'Administration des Entreprises (IAE) - Poitiers (IAE Poitiers), Université de Poitiers-Université de Poitiers-Université de Poitiers-Université de La Rochelle (ULR), Université d'Orléans (UO)-Université de Tours (UT), Université de Poitiers-Université de La Rochelle (ULR)-Institut d'Administration des Entreprises (IAE) - Poitiers (IAE Poitiers), Université de Poitiers-Université de Poitiers |
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
JEL: F - International Economics/F.F3 - International Finance
[QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN] investment strategy market efficiency JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets Central and Eastern Europe other January effect return [SHS.ECO]Humanities and Social Sciences/Economics and Finance [QFIN.TR]Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR] health care economics and organizations |
| Zdroj: | Bankers, Markets and Investors Bankers, Markets and Investors, ESKA Publishing, 2020 |
| ISSN: | 2101-9304 |
| Popis: | International audience; On the equity market, the ‘other January effect’ indicates that the returns for the month of January may have predictive power for the following months of February to December. The effects of this calendar anomaly on the equity markets of the countries of Central and Eastern Europe have been rarely studied and are analysed here in terms of the effects on eleven stock markets from January 1994 to December 2017. The results reveal the existence of an anomaly of this type for most of the stock markets studied but that there is no increase in the associated level of risk. A profitable investment strategy can be used to extract abnormal returns related to this market inefficiency. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|