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

Abstract

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

Inci, Ahmet Can, January Effect in a Sectoral Context in Emerging Countries: The Istanbul Stock Exchange (March 2, 2011). Journal of Emerging Markets, Vol. 15, No. 1, pp. 38-49, 2010, Available at SSRN: https://ssrn.com/abstract=1775244

Ahmet Can Inci (Contact Author)

Bryant University ( email )

1150 Douglas Pike
Smithfield, RI 02917
United States

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