The January effect refers to the theory that the monthly average stock return is
the highest in January than in any other month. Some argue that the January effect
holds true only for small-firm stocks and it takes place only over the first week
of a new year. Others argue that the January returns are higher because the risk is
higher in January. The January effect has received much attention since it directly
contradicts the random walk theory,
which argues that future stock prices are unpredictable using the present and past
price information. Defendants of the random walk theory argue that the January
effect can last only in the short run and it cannot persist and will disappear in
the long run. In this study, the following stock markets are examined: Korea,
Tokyo, Jakarta, and Shanghai, and US stock markets (SP500, Dow-Jones, NASDAQ, and
SP500 Total return index). To find if the January effect or any other periodic
patterns exist in these markets, monthly stock returns are compared with and
without risk-adjustments. Also, various statistical methods, such as correlation,
regression, autocorrelation, runs test, variance ratio test, unit root test,
Johansen cointegration test, ARIMA, VAR, ARCH, ARCH-M, GARCH, spectral analysis,
and factor analysis are applied to the monthly stock prices and returns. For risk-
adjustment, the Shin index is proposed with regard to the Sharpe index, Treynor
index, Jensen index, and the Modigliani index.
학회소식
공지사항
[2003년 제 2차] The Efficiency and Characteristics of the Asian and
작성자 : 관리자
조회수 : 907
게시일 :
2003-07-12