Authors:
Yi-Chieh Wen The Chinese Culture University, Taiwan, China

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Bin Li Griffith University, Nathan, Queensland, Australia

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January returns on stock markets can be used as a barometer for the subsequent 11-month holding period returns as documented by Cooper et al. (2006). We examine this apparent anomaly and analyze the effects of other holding periods of 1, 3, and 6 months in six Central and Eastern European transition economies from January 1991 through December 2013. Our results do not support the presence of the other January effect (OJE) in five of the six markets. Instead, the results reveal significant anomalies in non-January months and that such effects vary across markets. This latter evidence might reflect different characteristics in these economies, including diverse levels of market efficiency, local risk factors, and portfolio management among others. Furthermore, we construct a trading rule using the other month effect to illustrate the possibility of developing profitable investment strategies to earn abnormal returns.

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  • Bohl, M. T.Salm, C. A. (2010): The Other January Effect: International Evidence. The European Journal of Finance, 16(1–2): 173182.

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  • Brown, L.Luo, L. (2006): The January Barometer: Further Evidence. Journal of Investing, 15(1): 2531.

  • Chen, Z.Daves, P. (2013): The Index of Consumer Sentiment and the Other January Effect. Working Paper.

  • Cooper, M. J.McConnell, J. J.Ovtchinnikov, A. V. (2006): The Other January Effect. Journal of Financial Economics, 82(2): 315341.

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  • Cooper, M. J.McConnell, J. J.Ovtchinnikov, A. V. (2010): What’s the Best Way to Trade Using the January Barometer? Journal of Investment Management, 8(4): 5872.

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  • Darrat, A. F.Li, B.Chung, R. (2013): The Other Month Effect: A Re-Examination of the “Other January” Anomaly. Review of Pacific Basin Financial Markets and Policies, 16 (2): 123.

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  • Darrat, A. F.Li, B.Liu, B.Su, J. J. (2011):A Fresh Look at Seasonal Anomalies: An International Perspective. International Journal of Business and Economics, 10(2): 93116.

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  • Dzhabarov, C.Ziemba, W. T. (2010): Do Seasonal Anomalies Still Work? Journal of Portfolio Management, 36(3): 93104.

  • Easterday, K. E.Sen, P. K.Stephan, J. A. (2009): The Persistence of the Small Firm/January Effect: Is It Consistent with Investors’ Learning and Arbitrage Efforts? The Quarterly Review of Economics and Finance, 49(3): 11721193.

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  • Easton, S. A.Pinder, S. M. (2007): A Refutation of the Existence of the Other January Effect. International Review of Finance, 7(3–4): 89104.

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  • Marshall, B. R.Visaltanachoti, N. (2010): The Other January Effect: Evidence against Market Efficiency. Journal of Banking and Finance, 34(10): 24132424.

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  • Mehdian, S.Perry, M. J. (2002): Anomalies in US Equity Markets: A Re-Examination of the January Effect. Applied Financial Economics, 12(2): 141145.

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  • Tonchev, D.Kim, T. H. (2004): Calendar Effects in Eastern European Financial Markets: Evidence from the Czech Republic, Slovakia and Slovenia. Applied Financial Economics, 14(14): 10351043.

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Senior editors

Editors-in-Chief: István P. Székely, Dóra Győrffy

Editor(s): Judit Kálmán

Associate Editors

  • Péter Benczúr, Joint Joint Research Center, European Commission
  • Dóra Benedek, International Monetary Fund
  • Balázs Égert, OECD
  • Dániel Prinz, World Bank
  • Rok Spruk, University of Ljubljana, School of Economics and Business, Slovenia

Editorial Board

  • Anders Åslund, Georgetown University and Advisory Council of CASE, USA
  • István Benczes, Corvinus University of Budapest, Hungary 
  • Agnieszka Chłoń-Domińczak, SGH Warsaw School of Economics, Poland
  • Fabrizio Coricelli, University of Siena, Italy
  • László Csaba, Corvinus University of Budapest, Hungary and Central European University, Austria
  • Beáta Farkas, Faculty of Economics and Business Administration, University of Szeged, Hungary
  • Péter Halmai, Budapest University of Technology and Economics, and National University of Public Service, Hungary
  • Martin Kahanec, Central European University, Austria
  • Michael Landesmann, The Vienna Institute for International Economic Studies (WIIW), Austria
  • Péter Mihályi, Corvinus University of Budapest, Hungary
  • Debora Revoltella, European Investment Bank

Corvinus University of Budapest
Department of Economics
Fővám tér 8 Budapest, H-1093, Hungary
E-mail: judit.kalman@uni-corvinus.hu

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2023  
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Acta Oeconomica
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Acta Oeconomica
Language English
Size B5
Year of
Foundation
1966
Volumes
per Year
1
Issues
per Year
4
Founder Magyar Tudományos Akadémia
Founder's
Address
H-1051 Budapest, Hungary, Széchenyi István tér 9.
Publisher Akadémiai Kiadó
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Address
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Publisher
Chief Executive Officer, Akadémiai Kiadó
ISSN 0001-6373 (Print)
ISSN 1588-2659 (Online)

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