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

Hin Sang Tong

Research output: Journal article publicationJournal articleAcademic researchpeer-review

24 Citations (Scopus)


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.
Original languageEnglish
Pages (from-to)189-207
Number of pages19
JournalAsia Pacific Journal of Management
Issue number2
Publication statusPublished - 1 Oct 1992
Externally publishedYes

ASJC Scopus subject areas

  • Business and International Management
  • Economics, Econometrics and Finance (miscellaneous)
  • Strategy and Management

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