A study of market efficiency in Asian emerging markets-evidence of the January Effect and Momentum Effect

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Title:	A study of market efficiency in Asian emerging markets-evidence of the January Effect and Momentum Effect
Authors:	袁淑芳;Yuan, Shu-Fang
Contributors:	企業管理學系
Keywords:	Market efficiency;Emerging market;Market anomaly;January effect;Momentum effect
Date:	2015-09
Issue Date:	2019-07-08 11:49:17 (UTC+8)
Abstract:	The purpose of our study is trying to investigate the market efficiency in Asian emerging markets. The Asian emerging stock markets developed dramatically in the last decade and more and more individual investors joined the markets. It is rational to expect the market price behavior could be inconsistent with developed markets where the institutional investors are the majority. Two market anomalies of calendar effect and momentum effect are employed as the evidence to this study. It aims to provide useful information for potential Asian investors. Using T-test to examine the January Effect and using Moving Average price index (MA) technical analyze to investigate the Momentum effect. However we did not find market anomaly, namely January Effect. But there were indications of Momentum effect.
Relation:	Applied Science and Management Research vol. 2, no. 1 pp.171-179
Appears in Collections:	[Department of Business Administration, Master/Ph.D Program in Management Sciences] Periodical Articles

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