Cover Image

January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements

Over recent years the January Effect has been documented as an anomaly on stock markets around the world. The January regularity refers to the phenomenon that security returns in early January are higher than in any other period of the year. The pesence of the January Regularity on the Kuala Lumpu...

Full description

Saved in:
Bibliographic Details
Main Authors: M Nasir, Annuar, Ariff, Mohamed, Mohamad, Shamsher
Format: Article
Language:English
English
Published: 1992
Online Access:http://psasir.upm.edu.my/id/eprint/2987/1/January_Effect_on_the_Thinly_Traded_KLSE_Tests_with.pdf
http://psasir.upm.edu.my/id/eprint/2987/
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.upm.eprints.2987
record_format eprints
spelling my.upm.eprints.29872013-05-27T07:04:55Z http://psasir.upm.edu.my/id/eprint/2987/ January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements M Nasir, Annuar Ariff, Mohamed Mohamad, Shamsher Over recent years the January Effect has been documented as an anomaly on stock markets around the world. The January regularity refers to the phenomenon that security returns in early January are higher than in any other period of the year. The pesence of the January Regularity on the Kuala Lumpur Stock Exchange (KLSE) has been established. However, this study investigates further the possible explanations, taking into consideration the returns on stocks rather than indices, contml for thinness of trading and the association of the regularity with size effects. The evidence indicates that returns on 298 stocks traded in KSLE do exhibit the January seasonality, and the average returns net of cost for January are 1. 75 per cent. However, these net average returns are not adjusted for 1isk, therefore it is difficult to confirm the valuational efficiency of the regularity. In contrast to the documented evidence in developed securities markets, the size effect cannot rationalise the regularity in the developing Kuala Lumpur Stock Excrhange. The possibility of the thinness of trading as a factor that could partially eXplain the regularity is supporte 1992 Article NonPeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/2987/1/January_Effect_on_the_Thinly_Traded_KLSE_Tests_with.pdf M Nasir, Annuar and Ariff, Mohamed and Mohamad, Shamsher (1992) January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements. Pertanika, 15 (1). pp. 85-91. English
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
English
description Over recent years the January Effect has been documented as an anomaly on stock markets around the world. The January regularity refers to the phenomenon that security returns in early January are higher than in any other period of the year. The pesence of the January Regularity on the Kuala Lumpur Stock Exchange (KLSE) has been established. However, this study investigates further the possible explanations, taking into consideration the returns on stocks rather than indices, contml for thinness of trading and the association of the regularity with size effects. The evidence indicates that returns on 298 stocks traded in KSLE do exhibit the January seasonality, and the average returns net of cost for January are 1. 75 per cent. However, these net average returns are not adjusted for 1isk, therefore it is difficult to confirm the valuational efficiency of the regularity. In contrast to the documented evidence in developed securities markets, the size effect cannot rationalise the regularity in the developing Kuala Lumpur Stock Excrhange. The possibility of the thinness of trading as a factor that could partially eXplain the regularity is supporte
format Article
author M Nasir, Annuar
Ariff, Mohamed
Mohamad, Shamsher
spellingShingle M Nasir, Annuar
Ariff, Mohamed
Mohamad, Shamsher
January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements
author_facet M Nasir, Annuar
Ariff, Mohamed
Mohamad, Shamsher
author_sort M Nasir, Annuar
title January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements
title_short January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements
title_full January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements
title_fullStr January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements
title_full_unstemmed January Effect on the Thinly Traded KLSE: Tests with Appropriate Refinements
title_sort january effect on the thinly traded klse: tests with appropriate refinements
publishDate 1992
url http://psasir.upm.edu.my/id/eprint/2987/1/January_Effect_on_the_Thinly_Traded_KLSE_Tests_with.pdf
http://psasir.upm.edu.my/id/eprint/2987/
_version_ 1643822480401367040
score 13.211869

Similar Items