The January Effect and Prospect Theory in Taiwan

Comparative analysis of stochastic seasonality, January effect and market efficiency between emerging and industrialized markets

“…However, the January Effect was not found in small-company stock, except in large-company stock. Also, a study by Shen et al [ 52 ] reported a January effect on the Taiwan Stock Exchange and concluded that the January effect is common in emerging markets as compared to industrial markets. The Fisher's exact test for equal proportions of markets with January effect, stated early on, however, didn't indicate a significant difference between the two types of market.…”

Calendar anomalies in African stock markets

“…Precedent research works show that some months (generally January or April) may be characterized by abnormal returns. This effect is called the January effect and implies that stock returns in January are higher than the others months of the year (Moller & Zilca, 2008;Shen et al, 2020). Wachtel (1942) is the first to find evidence of seasonal movements during December and January in the DJIA between 1927 and 1942.…”

“…Several authors find evidence of January effect in the US (Haug & Hirschey, 2006;Poterba & Weisbenner, 2001;Reinganum, 1983;Rendon & Ziemba, 2007;Rozeff & Kinney, 1976), in the UK (Reinganum & Shapiro, 1987), in Canada (Berges et al, 1984) and in Irland (Lucey & Whelan, 2004)). In Asia, different authors found evidence of January effect in Japan (Kato and Schallheim (1985), in China (Zhang & Li, 2006) and in Taiwan (Chien & Chen, 2008;Shen et al, 2020). In Africa, Brishan (2012) find evidence of January effect in nine industrial sector (oil and gas, basic materials, industrials, consumer goods, health care, consumer services, telecommunications, financials and technology) indices in South Africa, between 1995 and 2012.…”