January Effect Revisited: Evidence from Borsa Istanbul and Bucharest Stock Exchange

Abstract

Any siginificant deviation from fundamental value observed in a market is acctepted to be an anomaly. As one of the most commonly referred anomalies in markets, January effect may be used to explain abnormal stock returns observed in January. The aim of this paper is to examine the January effect in two emerging markets for the time period between 2000 and 2014 using daily closing prices with power ratios analysis. Our results indicate that January effect is persistent for both Borsa Istanbul (BIST-100) and Bucharest Stock Exchange (BET).

Monday mornings: Individual investor trading on days of the week and times within a day

“…Global markets have been shown to display patterns in returns and trading volumes based on the season in the year (Kamstra et al, 2012), month in the year (Sahin et al, 2017) and day of the week (French, 1980). The focus of this research is on the volume traded on different days of the week.…”

“…Firstly, cognate research in finance has sought to understand anomalies that occur in stock markets which challenge the long-held notion of market efficiency. Analysis has uncovered seasonal (Kamstra, Kramer, & Levi, 2003, month-of-the-year (Sahin, Topaloglu, & Ege, 2017), day-of-the-week (Dicle & Levendis, 2014) and time of the day (Foster & Viswanathan, 1993) effects which shape trading activity and returns in stock markets around the world. This literature indicates that the 'when' aspect of trading influences market conditions.…”

The Phenomenon of the Month of Sela in the Indonesian Capital Market

“…The Ramadan effect demonstrates an increase in returns during the month of Ramadan (Munusamy, 2018;Ozkan, 2017;Shahid et al, 2019) because the mood of investors during Ramadan is better, many decide to invest (Al-Khazali et al, 2017), and this causes an increase in the returns (Al-Khazali et al, 2017). Another example of seasonal anomaly is the January effect, in which the returns are higher than those in other months (Depenchuk et al, 2010;Easterday, 2015;Evbayiro-osagie, 2018;Kumar & Pathak, 2016;Levy, 1996;Ozkan, 2017) because investors delay the sale of stocks until after the new year (Sahin et al, 2018). Calendar anomaly, apart from affecting the returns, also affects the volatility of the index return (Al-Khazali et al, 2017;Halari, 2017), such as in Ramadhan whereby market becomes more volatile (Ariss et al, 2011;Białkowski et al, 2013;Halari et al, 2018;Munusamy, 2018Munusamy, , 2019Wasiuzzaman & Al-Musehel, 2017).…”