Asia Pacific Journal of Management

, Volume 9, Issue 2, pp 189–207 | Cite as

An analysis of the January effect of united states, Taiwan and South Korean stock returns

  • Wilson H S Tong


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.


Unite State Stock Market Stock Return Risk Premium Liquidity Constraint 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Faculty of Business Administration National University of Singapore 1992

Authors and Affiliations

  • Wilson H S Tong
    • 1
  1. 1.Arizona State UniversityUSA

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