Testing for the existence of the ‘January effect’ in transition economies

Abstract

This paper tests the efficient market hypothesis (in terms of the presence or not of the ‘January effect’) for eight transition economies, namely the Czech Republic, Hungary, Lithuania, Poland, Romania, Russia, Slovakia, and Slovenia. Our analysis utilizes a monthly dataset that spans from 1991 till the early months of 2003 using monthly time series data of the stock markets of each country. The main results support the existence of seasonal effects and particularly of the January effect for most of the countries in our sample. Stronger evidence (in terms of statistical significance) is evident for the cases of Hungary, Poland and Romania; while for Hungary and Romania the results also suggest evidence in favour of the tax-loss selling hypothesis.

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