January effect: 200 years of evolution in the us stock market
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Date
2018
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LLC “СPС “Business Perspectives”
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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.
Keywords
гіпотеза ефективного ринку, гипотеза эффективного рынка, efficient market hypothesis, фінансові ринки, финансовые рынки, financial markets, календарні аномалії, календарные аномалии, Calendar Anomalies
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.