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Please use this identifier to cite or link to this item: http://hdl.handle.net/10481/31500

Title: The january effect across volatility regimes
Authors: Agnani, Betty
Aray, Henry
Issue Date: 2007
Abstract: Using a Markov regime switching model, this article presents evidence on the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes, one with high volatility and other with low volatility. We obtain a time-varying January effect that is, in general, positive and significant in both volatility regimes. However, this effect is larger in the high volatility regime. In sharp contrast with most previous literature we find two major results: i) the January effect exists for all size portfolios. ii) the negative correlation between the magnitude of the January effect and the size of portfolios fails across volatility regimes. Moreover, our evidence supports a decline in the January effect for all size portfolios except the smallest, for which it is even larger.
Sponsorship: Financial support from the Spanish Ministry of Education and Science, through Project SEJ2007-62081/ECON.
Publisher: Universidad de Granada. Departamento de Teoría e Historia Económica
Series/Report no.: The Papers;07/04
Keywords: Markov switching model
Stock returns
Seasonality
Size portfolios
URI: http://hdl.handle.net/10481/31500
Rights : Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License
Citation: Agnani, B.; Aray, H. The january effect across volatility regimes. Universidad de Granada. Departamento de Teoría e Historia Económica (2007). (The Papers; 07/04). [http://hdl.handle.net/10481/31500]
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