Impact of the January Effect on Return Rates in the Markets of the 2004 EU Enlargement

• Autorzy: Błażej Podgórski
• Języki publikacji: EN

Abstrakty

EN

Purpose: The article presents the results of a study conducted for the January effect. This anomaly is best recognized in the capital markets. In this case, we find explanation of its appearance based on both fundamental analysis and heuristics used by investors. The research focuses on the markets of the European Union enlargement countries of 2004. There are three hypotheses stated in the article:
Hypothesis 1: The January Effect occurs in the analyzed markets.
Hypothesis 2: The January Effect weakens over time.
Hypothesis 3: The January Effect weakens with the development of a market.

Methodology: Three methods verified the hypotheses: tests of differences, average and median rate of return, and dynamic models panelled with the estimation of parameters and the generalized method of moments.

Findings: The January Effect exists in the analyzed markets. The anomaly weakens over time but, after accession to the European Union, January return rates increase significantly.

Limitation: The definite verification was difficult due to the available methods and data. Further research in this field is, therefore, needed.

Originality: The originality of the paper stems from the construction of the sample - new evidence from post-communist countries - which became the European Union members in 2004. The next important issue is the period of twenty years after the economic transformation - ten before and ten after the enlargement of the EU. (original abstract)

Słowa kluczowe

EN

Calendar effects; Generalized method of moments (GMM); Capital market; EU enlargement

PL

Efekty kalendarzowe; Uogólniona metoda momentów; Rynek kapitałowy; Rozszerzenie UE

• Czasopismo: Journal of Management and Business Administration. Central Europe
• Rocznik: 2018
• Tom: 26
• Numer: nr 1
• Strony: 27--48

Twórcy

autor

Błażej Podgórski

• Kozminski University, Warsaw, Poland

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Identyfikatory

DOI

10.7206/jmba.ce.2450-7814.218