Does the January effect still exists?

Abstract

The issue of the January Effect has attracted a lot of interest by both practitioners and researchers. The idea that stock returns in January are statistically bigger than in other months was first presented several decades ago. This study analyzes the issue of the January effect in a systematic and global way of studying the performance of 106 indexes in 86 countries and jurisdictions. It was observed that while this effect can still be appreciated in some markets it would appear that it is decreasing globally over time. It was also found that there appears to be an Inverted January Effect in several markets with the returns in January being lower than the returns in some other months. This analysis was performed with nonparametric tests. The hypothesis that the returns of the indexes do not follow in general a normal distribution was also confirmed with several tests.