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dc.contributor.authorWen, Yi-Chieh
dc.contributor.authorLi, Bin
dc.date.accessioned2018-08-17T01:29:49Z
dc.date.available2018-08-17T01:29:49Z
dc.date.issued2016
dc.identifier.issn0001-6373
dc.identifier.doi10.1556/032.2016.66.1.5
dc.identifier.urihttp://hdl.handle.net/10072/100549
dc.description.abstractJanuary 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherAkademiai Kiado Rt.
dc.relation.ispartofpagefrom107
dc.relation.ispartofpageto124
dc.relation.ispartofissue1
dc.relation.ispartofjournalActa Oeconomica
dc.relation.ispartofvolume66
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchEconomic theory
dc.subject.fieldofresearchMacroeconomic theory
dc.subject.fieldofresearchOther economics
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3803
dc.subject.fieldofresearchcode380302
dc.subject.fieldofresearchcode3899
dc.titleThe other month effect: Some evidence from the central and eastern European markets
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorLi, Bin


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