증권시장의 이례현상에 관한 연구

A StudyonStockMarketAnomalies

This study examines empirically the January effect and the end of year effect, one of seasonal anomalies, on the KSE stocks. This article uses daily and monthly returns during the period fron 1983 through 2009 to test for the existence of persistent return market patterns in the rates of return. This study provides evidence that January and November returns are higher than other monthly returns. Moreover, the effect of the size of small firms is also observed in most of the period studied. At the study of the end of year effect, 'V-shaped return patterns' is shown around last and first few days in each year. The results support that there are anomalies on the stock market movements in Korea, similarly prior foreign studies