earticle

영어

Recently, many market anomalies such as the size effect, the P/E effect and the January effect have been reported in the stock market. The January effect represents a strong evidence against the efficient market hypothesis. If investors are rational and the market is efficient, there can be no reason that returns in some specific months are higher than returns in other months. Nevertheless, many empirical evidences on stock return anomalies have been found in major stock markets in the world. Using Korean stock market data, Kim(1990), Jang(1991), Koh and Rho(1993) reported the January effect However, these reports have certain limitations due to the lack of both time periods and data used for the research. To get more persuasive and comprehensive evidence, this work attempts; 1. to test the existence of stock return data using monthly stock return series from January 1980 to December 1995. Both of parametric test and non-parametric test are applied. 2. to test the weekly stock return data. Therefore the number of observations has been increased. 3. to test the relationship between the stock price index by the sizes; small, middle, large and overall. The test results in this work are summarized as follows; 1. Using monthly data, the monthly effect was found in middle sized firms, while, no January effect was found. 2. Using weekly data, the monthly effect was found in middle and small sized firms and the January effect was found in small sized firms. 3. The turn-of-the year effect was not found.