January Effect: The Malaysian Experience

Jabatan Kewangan Universiti Kebangsaan Malaysia


Abstract

Past studies in the United States, Canada and Australia indicated the exis tence of seasonality effect, le. “January effect” and “end-of-the-year effect”, due to taxes imposed on the capital gains in these countries. This paper attempted to find out whether or not this conclusion is also true in the case of Malaysia where there is no tax imposed on the capital gains. Overall, initial observation showed that the average returns are higher in January compared to other months for 5 out of 6 sectors of the Kuala Lumpur Stock Exchange. However, the F-statistic test indicated that the overall differen ces among these months were not statistically significant, which means there is no seasonality effect in Malaysia. The t-statistic test which made a detail ed comparison between the average returns in January with that of other in dividual month found that, except for a few cases, the average returns in January were not that much different from other months.

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Citation

Yong, O. (1989). January Effect: The Malaysian Experience. Jurnal Pengurusan, 8, 43–53.

@article{yong1989january,
  title={January Effect: The Malaysian Experience},
  author={Yong, Othman},
  journal={Jurnal Pengurusan},
 

volume={8},
  number={},
  pages={43—53},
  year={1989},
  doi={},
  publisher={Penerbit UKM},
}

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8 (1989) 43 – 53

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