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

Abstract

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.

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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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