Uwaleke, Uchenna2023-12-102023-12-102009-01-03Grossman S. 8t J. Stiglitz (1990), "On the Impossibility of Informationally Efficient Markets," American Economic Review 70, 393-408. Gu (2006) "Stock market seasonality: International evidence," Journal of Financial Economics 12, 469-481. Heakal R. (Jan. 3, 2007) “What is Market Efficiency”? http://www.investoDedia.com/articles/02/101502.asp, Retrieved Jan 5, 2007 Jaffe, J. and R. Westerfield (1989), Is there a Monthly effect in Stock Market returns? Evidence from foreign Countries,” Journal of Banking and Finance Kato, K 6t S. Schalleim, (2005). “Seasonal and Size Anomalies in the Japanese Stock Market” Journal of Financial and quantitative Analysis, Vol.20. No.2, 243-260. Mehdian, S. a J. Perry, (2001) “The Reversal of the Monday Effect: New Evidence from U.S Equity Markets” Journal of Business Finance and Accounting, Vol.28. No. 1043-106*1. NSE (2007), Nigerian Stock Exchange Fact Book 2007. Officer, R. (1975). “Seasonality in Australian Capital Markets: Efficiency and Empirical Issues,” Journal of Financial Economics, Vol. 2, Pareto C. (2004) “Revisiting The Efficient Market Hypothesis” vyww. investorsolutions. com/lc*library*cfm Retrieved Dec. 27, 2006 Rosenberg, M. (2004). “The Monthly effect in Stock returns and conditional hetroscedasticity”. The American Economist 48: 67*73. Rozeff, M. & W. Kinney (1986), "Capital Market Seasonality: The Case of Stock Returns," Journal of Financial Economics 3, 379-402. Sharpe, W. 8t F. Alexander, (1999). Investments (6th edition) Prentice Hallhttps://keffi.nsuk.edu.ng/handle/20.500.14448/666The ‘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.enArticle