Stock market seasonality: the Malaysian experience

Abstract

Numerous studies in the West indicated some anamolies in the validity of the efficity of the stock markets. Among them are the size effect, Monday or weekend effect, year-end effect, and the January effect. It is found that the average returns in January are higher than any other mouth and this phenomenon is called the January effect. This situation distributed to the action by the investors in response to takes on the capital gains. That is, the inwestore the unities with losses at the end of the year to take advantage of the tax rebate and dolay the tax payments on the capital by holding the securition with capital gains. This action will result in the decrease of securities' prices at the end of the and on the other hand the increase in the prices of securities in the month of January.