ROBUST TEST OF THE JANUARY EFFECT IN STOCK MARKETS USING MARKOV - SWTTCHING MODEL* Professor CHIA-SHANG
نویسندگان
چکیده
Using Markov-switching model, five return regimes are statislically determined for the monthly stock returns covering the period 1926 to 1992 and probabilistic inferences about these regimes are drawn. The results provide no support for the existence of the January effect. To account for the small-firm effect, again Markov-switching model Is applied to ten portfolios sorted by market value deciles. We found a strong January efTecl for low capitalization stocks.
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