January effect: 200 years of evolution in the us stock market

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This paper is a comprehensive investigation of the January Effect evolution in the US stock market over the period 1791–2015. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, Mann-Whitney test) and a trading simulation approach to analyze the evolution of this anomaly. The results suggest that January effect during the XVIII–XXI century passed the way from rise to fall. The rise of the January Effect starts in the end of the XIX century and this anomaly mostly disappeared in middle of the XX century. Nowadays the January Effect is not present in the US stock market, but even today January stays one of the best months for purchases in the US stock market.

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    • Figure 1. Evolution of the January effect: case of the US stock market during 1791–2015*
    • Figure A 1. Average returns by months in the US stock market during 1791–2015
    • Table 1. Example of the t-test for the trading strategy effectiveness evaluation: US stock market in 1966–1990
    • Table 2. Overall results for the January effect: case of the US stock market during 1791–2015
    • Table A 1. Average returns by months in the US stock market during 1791–2015
    • Table B 1. ANOVA test of the January Effect for the US stock market during 1791–2015
    • Table B 2. T-test of the January Effect for the US stock market during 1791–2015
    • Table C 1. Kruskal-Wallis test of the January Effect for the US stock market during 1791–2015
    • Table D 1. Trading simulation results of the January Effect for the US stock market during 1791–2015