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

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

Author(s): Błażej Podgórski
Subject(s): Business Economy / Management
Published by: Akademia Leona Koźmińskiego
Keywords: January Effect; generalized method of moments; dynamic panel data models; impact of the European Union enlargement to capital markets

Summary/Abstract: 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 fnd 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 verifed the hypotheses: tests of differences, average and median rate of return, and dynamic models paneled 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 signifcantly.Limitation: The defnite verifcation was diffcult due to the available methods and data. Further research in this feld 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.

  • Issue Year: 26/2018
  • Issue No: 1
  • Page Range: 27-48
  • Page Count: 22
  • Language: English