January Effect in a Sectoral Context in Emerging Countries: The Istanbul Stock Exchange
Journal of Emerging Markets, Vol. 15, No. 1, pp. 38-49, 2010
Posted: 4 Mar 2011
Date Written: March 2, 2011
This study examines the January anomaly at the industry level in the emerging Istanbul Stock Exchange (ISE). Analyses of the data from 1986 through 2007 provide evidence for the anomaly. There is also strong evidence that the anomaly has partially shifted to December of the previous year. Finally, the January effect is persistent. However, the anomaly is not pervasive across all industries. The stringent regulations and monitoring mechanisms during and after the privatization process over the last 30 years may be reasons behind the efficiency and lack of January anomaly for these industries.
Keywords: January Anomaly, Market Efficiency, Industry Performance
JEL Classification: G15, G14
Suggested Citation: Suggested Citation