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系統識別號 U0026-2901201315071700
論文名稱(中文) Is there January Effect? Examining Market Efficiency in Latvian Stock Market
論文名稱(英文) Is there January Effect? Examining Market Efficiency in Latvian Stock Market
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士班
系所名稱(英) Institute of International Management (IIMBA--Master)
學年度 101
學期 1
出版年 102
研究生(中文) 英雷夫
研究生(英文) Agris Indricevs
學號 RA6997406
學位類別 碩士
語文別 英文
論文頁數 66頁
口試委員 指導教授-張紹基
口試委員-林豪傑
口試委員-偉耶倫
中文關鍵字 none 
英文關鍵字 January effect  Market efficiency  Return seasonality  Latvia  NASDAQ OMX Riga 
學科別分類
中文摘要 none
英文摘要 January effect implies that stock returns in January are significantly higher comparing to the other months of the year. Such seasonal pattern has been reported in various stock exchanges around the globe. Studies have been carried out mostly in developed markets and recently market efficiency by monthly seasonal effect has been challenged in emerging stock markets.
This study investigates monthly seasonal return patterns in NASDAQ OMX Riga of Latvia for the period from 2000 to 2011. The results confirm seasonality existence in Latvian capital market, however January effect is not observed. Instead, April effect is found which reports higher average returns in April comparing to other months.
The results of the study bring into question efficient market hypothesis and suggest that investors can develop trading strategy to obtain higher returns. However, the small size and poor liquidity of the market could have influenced the findings in this study.
論文目次 ACKNOWLEDGEMENTS I
ABSTRACT II
TABLE OF CONTENTS III
LIST OF TABLES V
LIST OF FIGURES VI
CHAPTER ONE INTRODUCTION 1
1.1 Research Background and Motivation. 1
1.2 Research Objectives and Contribution. 3
1.3 Research Structure. 6
CHAPTER TWO LITERATURE REVIEW 7
2.1 Financial System in Latvia. 7
2.1.1 Capital Market in Latvia. 8
2.1.2 NASDAQ OMX Riga. 10
2.2 Market Efficiency. 18
2.3 January Effect. 19
2.4 Tax-Loss Selling Hypothesis. 24
2.5 Other Evidence in January Effect. 27
2.5.1 Window Dressing or Portfolio Rebalancing Hypothesis. 27
2.5.2 Risk-Return Relationship and Information Uncertainty. 28
2.5.3 Payment System Standardization. 29
2.5.4 Intergenerational Transfers. 30
2.5.5 Perspective of Behavioral Finance. 30
2.6 January Effect Studies in Emerging or Transition Economies. 31
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 34
3.1 Data Source and Sample. 34
3.2 Methodology. 34
3.3 Variable Description. 37
CHAPTER FOUR RESEARCH RESULTS 40
4.1 Test for Monthly Seasonality and January Effect. 44
4.2 Small Capitalization vs. Large Capitalization Firm January Effect. 47
4.3 Trading Volume and Turnover in the Turn of the Year. 49
4.4 April Effect? 51
CHAPTER FIVE CONCLUSION AND SUGGESTIONS 54
5.1 Research Conclusions and Discussion. 54
5.2 Research Implication. 59
5.3 Research Limitation. 60
5.4 Future Research and Suggestions. 61
REFERENCES 63
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