Emerging stock markets return seasonalities: The January effect and the tax-loss selling hypothesis

Applied Financial Economics

Volumn 12, Issue 4, 2002, Pages 291-299

  Fountas, Stilianos ^a   Segredakis, Konstantinos N ^a  

^a NATIONAL UNIVERSITY OF IRELAND   (Ireland)

Author keywords

[No Author keywords available]

Indexed keywords

MARKET CONDITIONS; SEASONALITY; STOCK MARKET;

EID: 0036209065     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100010000839     Document Type: Article

References (22)

1. An investigation of the turn-of-the-year effect, the small firm effect and the tax-loss-selling-pressure hypothesis in Canadian stock returns
2. A tax-loss trading rule
3. Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence
4. Seasonality in the risk-return relationship: Some international evidence
5. Capital gains taxation and year-end stock market behavior
6. Stock market seasonality: International evidence
7. Stock return seasonalities in Asia Pacific markets
8. Size related anomalies and stock return seasonalities: Further empirical evidence
9. Emerging equity markets in the global economy, Federal Reserve Bank of New York
10. The January effect of stock traded on the Kuala Lumpur stock exchange: An empirical analysis
11. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
12. An analysis of the Hong Kong stock return seasonality and firm size anomalies for the period 1977 to 1986
13. The anomalous stock market behaviour of small firms in January: Empirical tests for tax-loss selling effects
14. The January size effect: Anomaly or risk mismeasurement?
15. The-turn-of-the-year effect and the return premia of small firms
16. Capital market seasonality: The case of stock returns
17. Anomalies: The January effect
18. Risk and return: January versus the rest of the year
19. Certain observations on the seasonal movement in stock prices