Open AccessThe January effect in the aftermath of financial crisis of 2008
Author(s) -
Anja Tkalčević,
Iskra Kalodera-Schmiedecke
Publication year - 2020
Publication title -
ekonomski pregled
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.134
H-Index - 9
eISSN - 1848-9494
pISSN - 0424-7558
DOI - 10.32910/ep.71.6.1
Subject(s) - financial crisis , stock exchange , market capitalization , stock (firearms) , stock market , business , economics , financial economics , finance , financial system , monetary economics , geography , macroeconomics , context (archaeology) , archaeology
The January effect is one of the most researchedseasonal anomalies on the financial market. However, very few authors havelooked into the January effect after the financial crisis of 2008 and evenfewer have used data of individual companies instead of indexes in doing so.This paper intends to fill this void by analyzing returns of individual micro-capcompanies on the three biggest stock markets New York Stock Exchange, LondonStock Exchange and Tokyo Stock Exchange for a time period January 2010 to January2017. Analysis of each individual company using simple averages and regressionanalysis documented that abnormally high rates of return onmicro-capitalization stocks are no longer present in the stock market in theaftermath of the financial crisis of 2008. Further confirmation ofdisappearance of January effect is conditional on new longer datasets as theybecome available.