Please note that Internet Explorer version 8. Please refer to this blog post for more information. This study examines empirically stock market seasonality in major industrialized countries. Evidence is provided that there are strong seasonalities in the stock market return distributions in most of the capital markets around the world.

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The seasonality, when it exists, appears to be caused by the disproportionately large January returns in most countries and April returns in the U. With the exception of australia, these months also coincide with the turn of the tax year.

We would like to thank Irwin Friend, David K. Hildebrand, Isik Inselbag, Donald Keim, Wayne Mikkelson, Richard Roll, G. William Schwert, Robert F. French, and especially John B.

We also thank Tom Ward for this research assistance and Marlena Santomero for editorial help. All remaining errors are ours.

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Journal of Financial Economics Volume 12, Issue 4 , December , Pages Author links open the author workspace. New York University, New York, NY , USA. University of Pennsylvania, Philadelphia, PA , USA.

The January effect, does options trading matter?Australian Journal of Management - Cameron Truong,

Abstract This study examines empirically stock market seasonality in major industrialized countries. Check if you have access through your login credentials or your institution. Elsevier About ScienceDirect Remote access Shopping cart Contact and support Terms and conditions Privacy policy.

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