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PENGUJIAN JANUARY EFFECT : STUDI KOMPARASI PADA BURSA EFEK INDONESIA DAN BURSA SAHAM SHANGHAI PERIODE 2011-2013 [PDF]
Journal of Business & Banking, 2016 The January Effect occurred as a result companies that have a strategy to improve it is financial statements. The company will sell stocks that have low values at the end of the year and sell shares favorable to attract investment back at the beginning ...
Latanza Hanum Kartikasari
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The January Effect Across Volatility Regimes [PDF]
SSRN Electronic Journal, 2008 Using a Markov regime switching model, this article presents evidence on the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes, one with high volatility and other with low volatility. We obtain a time-varying January effect that is, in general, positive and significant in both volatility ...
Bety Agnany, Henry Aray
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Comparative analysis of stochastic seasonality, January effect and market efficiency between emerging and industrialized markets [PDF]
HeliyonThis study investigates whether there are significant differences in investment returns between emerging markets and industrialized markets in terms of stochastic seasonality, January effect and market efficiency.
Nancy Eduah +3 more
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Correcting the January optimism effect [PDF]
Journal of Forecasting, 2020 AbstractEach month, various professional forecasters give forecasts for next year's real gross domestic product (GDP) growth and unemployment. January is a special month, when the forecast horizon moves to the following calendar year. Instead of deleting the January data when analyzing forecast updates, I propose a periodic version of a test regression
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The Extended January Effect on London Stock Exchange [PDF]
Risk in Contemporary Economy, 2023 Since their discovery, many calendar anomalies experienced different types of changes. This paper explores the possibility of enlargement of the time interval specific to the January Effect on London Stock Exchange.
Razvan Stefanescu, Ramona Dumitriu
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Polityki Europejskie, Finanse i Marketing, 2023 Practice and empirical observations prove that achieving above-average returns on the stock market is possible. It is possible to achieve both higher and lower returns than those resulting from the fundamental value of the companies being valued.
Tomasz Pawlonka, Paweł Sypniewski
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The January seasonality and the performance of country-level value and momentum strategies
Copernican Journal of Finance & Accounting, 2015 The study examines the turn-of-the-year effect in the country-level value and momentum strategies. We re-examine eight distinct value and momentum strategies within 78 markets in the 1995‑2015 period and we test their performance for the seasonal ...
Adam Zaremba
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Calendar anomalies in African stock markets
Cogent Economics & Finance, 2021 In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars.
El Mehdi Ferrouhi +3 more
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Calendar anomalies and market volatility in selected cryptocurrencies
Cogent Business & Management, 2023 This study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period.
Farah Naz +5 more
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Analysis of the January Effect in Time Series of Mexican Stock Market Indexes
Mercados y Negocios, 2019 The current article has the research objective to search for empirical evidence of the January effect within the time series of the IPC and the sector indexes of the Mexican stock market using econometric GARCH analysis.
Mariana Garay Alvarado, Michael Demmler
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