January effect: 200 years of evolution in the us stock market
Анотація
This paper is a comprehensive investigation of the January Effect evolution in the US stock market over the period 1791–2015. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, Mann-Whitney test) and a trading simulation approach to analyze the evolution of this anomaly. The results suggest that January effect during the XVIII–XXI century passed the way from rise to fall. The rise of the January Effect starts in the end of the XIX century and this anomaly mostly disappeared in middle of the XX century. Nowadays the January Effect is not present in the US stock market, but even today January stays one of the best months for purchases in the US stock market.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Rise and fall of calendar anomalies over a century
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Complex Systems and Time Series Analysis
Short-Term Price Overreactions: Identification, Testing, Exploitation
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Complex Systems and Time Series Analysis
An empirical investigation of the Fama-French five-factor model
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Complex Systems and Time Series Analysis
Price gaps: Another market anomaly?
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Complex Systems and Time Series Analysis
The frequency of one-day abnormal returns and price fluctuations in the forex
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Complex Systems and Time Series Analysis
Halloween Effect in developed stock markets: A historical perspective
Схоже за: Financial Markets and Investment Strategies · Market Dynamics and Volatility · Complex Systems and Time Series Analysis