The January effect across volatility regimes

作者：Agnani Betty; Aray Henry^*

来源：Quantitative Finance, 2011, 11(6): 947-953.

DOI：10.1080/14697680903540373

• Markov switching model
• Stock returns
• Seasonality
• Size portfolios

Using a Markov regime switching model, this article presents evidence of the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes: one with high volatility and another with low volatility. We obtain a time-varying January effect that is, in general, positive and significant in both volatility regimes. However, this effect is larger in the high-volatility regime. In sharp contrast with most of the previous literature, we find two major results: (1) the January effect exists for all sizes of portfolio; (2) the negative correlation between the magnitude of the January effect and portfolio size fails across volatility regimes. Moreover, our evidence supports a slight decline in the January effect for all sizes of portfolio except the smallest, for which it is even larger.

• 出版日期2011