THE ‘JANUARY EFFECT’ RESULTS IN THE ATHENS STOCK EXCHANGE (ASE)
University of Crete, Department of Economics Sciences, Crete, Greece
This paper examines the so-called ‘January effect’ in the Athens Stock Exchange (ASE) for the period January 1985 to December 2001. This period is considered as one of the most significant in the economic and financial history of the country. In contrast with other studies, significantly higher returns are documented in January and low returns in November over the sample period. According to the research results, the mean daily returns in January have fallen by almost 25% over a ten-year period, pointing to a weakening January effect. Lastly, we apply our findings to an Athens Stock Exchange investment scenario, in which investors ‘buy’ and ‘sell’ a portfolio of stocks, based on the General Index.
Key words: January effect, Stock exchange investments, Stocks returns
JEL Classification: G15, C32