IS THERE A JANUARY EFFECT IN THE NIGERIAN CAPITAL MARKET?

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IS THERE A JAUNARY EFFECT IN THE NIGRIAN CAPITAL MARKET.pdf (1.86 MB)

Date

2009-01-03

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Department of Accounting Nasarawa State University Keffi.

Abstract

The ‘January effect' is often used in finance literature to describe the tendency for stock returns to be significantly higher in January than in other months of the year. This paper primarily aims to investigate the presence of this effect in the Nigerian capital market. Evidence of the January effect would have important implications for investment strategies as it would be possible for traders to outperform the market. For the period 1984 to 2007, average monthly returns based on the Nigerian Stock Exchange (NSE) All-share index are computed and regressed against dummy proxy variables for the months of year. Employing the ANOVA technique based on the F distribution, this study found no evidence of the January effect in the Nigerian capital market. The conclusion of this paper is that investors should not consider making abnormal gains in the month of January when constructing their portfolio.

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https://keffi.nsuk.edu.ng/handle/20.500.14448/666

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