January anomalies on CEE stock markets

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Numerous studies show that stock markets are often impacted by various calendar anomalies that disrupt the “random walk” behavior of stock prices. These anomalies contradict the Efficient markets theory and can be exploited to generate abnormal returns. This paper investigates the presence of two of them, namely the January effect and the January barometer, on the stock markets of 12 Central and Eastern European (CEE) countries. The paper examines the statistical significance of differences in returns recorded over the month of January and returns recorded over the other months (the January effect), as well as the statistical significance of differences between returns recorded during the remainder of year after a positive January return and after a negative January return (the January barometer). The results show, among other things, that the statistically significant January effect affects the Estonian, Lithuanian, Czech, Romanian, and Latvian stock markets. On the Romanian and Lithuanian stock markets, statistically significantly higher January returns are accompanied by statistically significantly higher January price volatility. On the other hand, we can speak of a statistically significant January barometer only in the case of the Latvian, Lithuanian, and Ukrainian stock markets. The presence of these anomalies is contrary to the Efficient market theory. It can be assumed that proper investment strategies based on these calendar anomalies should be able to generate abnormal returns.

Acknowledgment
This paper is an outcome of the science projects VEGA (1/0613/18) and VEGA (1/0221/21).

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    • Table 1. Basic descriptive statistics – monthly returns
    • Table 2. January effect statistical significance test results (returns)
    • Table 3. Average returns by month
    • Table 4. January effect statistical significance test results (volatilities)
    • Table 5. January barometer (basic statistics)
    • Table 6. January barometer statistical significance test results (monthly returns)
    • Conceptualization
      Peter Árendáš
    • Data curation
      Peter Árendáš
    • Formal Analysis
      Peter Árendáš, Božena Chovancová, Jana Kotlebova
    • Investigation
      Peter Árendáš, Božena Chovancová, Jana Kotlebova, Martin Koren
    • Methodology
      Peter Árendáš
    • Resources
      Peter Árendáš, Martin Koren
    • Software
      Peter Árendáš
    • Supervision
      Peter Árendáš, Božena Chovancová, Jana Kotlebova, Martin Koren
    • Validation
      Peter Árendáš, Božena Chovancová, Jana Kotlebova, Martin Koren
    • Visualization
      Peter Árendáš
    • Writing – original draft
      Peter Árendáš
    • Writing – review & editing
      Peter Árendáš
    • Funding acquisition
      Božena Chovancová, Jana Kotlebova