An analysis of the January effect of united states, Taiwan and South Korean stock returns
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- Tong, W.H.S. Asia Pacific J Manage (1992) 9: 189. doi:10.1007/BF01732896
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By using the ARCH approach of testing the time-varying risk premium, this paper examines the presence of the January effect in the Taiwanese and South Korean stock markets. Implications on the Tax-Loss-Selling hypothesis and the Liquidity Constraint hypothesis are also discussed.