The January and December Effect in Companies Listed at Warsaw Stock Exchange
DOI:
https://doi.org/10.33119/SIP.2019.172.2Keywords:
financial market efficiency, December effect, January effect, calendar anomaliesAbstract
The paper examines the January and December effects of increases and drops in stock prices of companies listed at the Warsaw Stock Exchange assuming that the date of the first listing is earlier than 01.01.2000. The criterion was met by 91 companies. To validate statistical hypotheses the following statistics were used: t, Mann-Whitney (U test), and Kruskal-Wallace’s statistics. Zero hypothesis was rejected more often for small caps and mid caps than for large-cap companies. In companies covered by the analysis the January effect was observed more often than the December effect which concurs with views presented in global literature. The paper belongs to research devoted to calendar anomalies in financial markets, in particular to the so called January effect or December effect.
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3. Dimson E., Mussavian M. [1998], A Brief History of Market Efficiency, „European Financial Management”, vol. 4, no. 1, s. 91–193.
4. Easterday K., Sen P., Stephan J. [2008], The Persistence of the Small Firm/January Effect: Is it Consistent with Investors’ Learning and Arbitrage Efforts?, „Quarterly Review of Economics
and Finance”, vol. 49, no. 3, s. 1172–1193.
5. Fama E. [1970], Efficient Capital Markets: A Review of Theory and Empirical Work, „Journal of Finance”, vol. 25, no. 2, s. 383–417.
6. Fama E. [1991], Efficient Capital Markets II, „Journal of Finance”, vol. 46, no. 5, s. 1575–1617.
7. Grotowski M. [2008], Efekty kalendarzowe na Giełdzie Papierów Wartościowych w Warszawie, „Gospodarka Narodowa”, vol. 19, nr 1–2, s. 57–75.
8. Gu A., Simon J. [2003], Declining January Effect – Experience in the United Kingdom, „American Business Review”, vol. 21, no. 2, s. 117–121.
9. Haug M., Hirschey M. [2006], The January Effect, „Financial Analyst Journal”, vol. 65, no. 5, s. 78–88.
10. He L., He S. [2011], Has the November Effect Replaced the January Effect in Stock Markets?, Managerial and Decision Economics, vol. 32, no. 7, s. 481–486.
11. Hirsch J., Hirsch Y. [2001], Stock Market Almanac: Widely Yearly Updates, Wiley & Sons, Hoboken.
12. Keim D. [1983], Size Related Anomalies and Stock Returns Seasonality: Further Empirical Evidence, „Journal of Financial Economics”, vol. 12, no. 1, s. 3–32.
13. Keim D., Ziemba W. [2000], Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, Cambridge.
14. Lakonishok J., Smidt S. [1988], Are Seasonal Anomalies Real?, A Ninety-Year Perspective, „Review of Financial Studies”, vol. 1, no. 4, s. 403–425.
15. Lewandowska M. [2017], Efekt stycznia i grudnia na Giełdzie Papierów Wartościowych w Warszawie, „Journal of Capital Markets and Behavioral Finance”, vol. 1, no. 15, s. 17–28.
16. Malkiel B. [2003], The Efficient Market Hypothesis and Its Critics, „Journal of Economic Perspectives”, vol. 17, no. 1, s. 59–82.
17. Malkiel B. [2005], Reflections on the Efficient Market Hypothesis: 30 Years Later, „Financial Review”, vol. 40, no. 1 s. 1–9.
18. Osińska M. [2006], Ekonometria finansowa, PWE, Warszawa, s. 43–44.
19. Patel J. [2016], The January Effect Anomaly Reexamined In Stock Returns, „Journal of Applied Business Research”, vol. 32, no. 1, s. 317–324.
20. Patel J., Evans D. [2003], Seasonal Stock Return Patterns in the Seven Industrialized Nations, „International Business and Economic Research Journal”, vol. 19, no. 3, s. 111–120.
21. Purohit H., Tyagi P. [2015], Calendar Effect in Stock Markets of India and China: An Empirical Analysis of Month-of-the-Year-Effect, „Business Analyst”, vol. 36, no. 1, s. 69–81.
22. Rendon J., Ziemba W. [2007], Is the January Effect Still Alive in the Futures Markets?, „Finanzmarket and Portfolio Management”, vol. 21, no. 3, s. 381–396.
23. Rozeff M., Kinney W. [1976], Capital Market Seasonality: the Case of Stock Returns, „Journal of Financial Economics”, vol. 3, no. 4, s. 379–402.
24. Smalheiser N. [2017], How to Make Your Experiment Robust and Reproducible, Elsevier, New York.
25. Thaler R. [1992], The winner curse, The Free Press, New York.
26. Verheyden T., De Moor L., Bossche F. [2013], A Tale of Market Efficiency, „HUB Research Papers, Economics and Business Science”, vol. 5, no. 2, s. 45–46.
27. Weaver K., Morales V., Dunn S., Godde K., Weaver P. [2018], An Introduction to Statistical Analysis in Research: With Applications in the Biological and Life Sciences, Wiley & Sons,
Hoboken.
28. Witkowska D., Matuszewska A., Kompa K. [2006], Wprowadzenie do ekonometrii dynamicznej i finansowej, Wydawnictwo SGGW, Warszawa, s. 110–113.
29. Yavrumyan E. [2016], Efficient Market Hypothesis and Calendar Effects: Evidence form the Oslo Stock Exchange, Phd. Thesis, Department of Economics, University of Oslo.
30. Ziemba W. [1994], Investing in the Turn-of-the-Year Effect in the Futures Markets, „Interfaces”, vol. 24, 3, s. 46–61.
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Published
2019-07-23
How to Cite
Borowski, K. (2019). The January and December Effect in Companies Listed at Warsaw Stock Exchange. Studies and Work of the Collegium of Management and Finance , (172), 23–29. https://doi.org/10.33119/SIP.2019.172.2
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