Month of the Year Effect in Stocks: Literary Evidence from Developed and Emerging Markets
Keywords:
Month of the Year Effect, January Effect, April Effect, Efficient Market Hypothesis, Calendar Anomalies, Seasonality in Stocks
Abstract
Month of the year effect occurs when average returns on tradedassets significantly differ in different months of the year. Thiseffect is sometimes commonly called as January effect as most ofthe empirical evidence cites that average trading returns duringJanuary are significantly positive as compared to average returns
during rest of the year. The purpose of this paper is to review theresearch efforts on month of the year effect in stocks
