January effect: 200 years of evolution in the us stock market

Plastun, Oleksii Leonidovych; Пластун, В.

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Title	January effect: 200 years of evolution in the us stock market
Authors	Plastun, Oleksii Leonidovych Пластун, В.
ORCID	http://orcid.org/0000-0001-8208-7135
Keywords	гіпотеза ефективного ринку гипотеза эффективного рынка efficient market hypothesis фінансові ринки финансовые рынки financial markets календарні аномалії календарные аномалии Calendar Anomalies
Type	Article
Date of Issue	2018
URI	http://essuir.sumdu.edu.ua/handle/123456789/72335
Publisher	LLC “СPС “Business Perspectives”
License	Copyright not evaluated
Citation	Plastun, A. January effect: 200 years of evolution in the us stock market / A. Plastun, V. Plastun //Geopolitics under Globalization. - 2(1). - 27-33. doi:https://doi.org/10.21511/gg.02(1).2018.04.
Abstract	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.
Appears in Collections:	Наукові видання (ННІ БТ)