Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/219743 
Year of Publication: 
2015
Series/Report no.: 
Institute of Economic Research Working Papers No. 127/2015
Publisher: 
Institute of Economic Research (IER), Toruń
Abstract: 
The article presents a study of effectiveness of 22 selected stock indices with the use of the rates of return in the month of April. The portfolio replicating the stock index was bought at the close prices on the last session in March, and sold at the close prices on the last session in April. The presence of market inefficiency is demonstrated in the following cases: All-Ord, AMEX, BUX, CAC40, DAX, DJIA, DJTA, DJUA, EOE, FTSE100, SMI, SP500. There was no incidence rates of return significantly different from zero while maintaining a month long investment strategy for indexes such as: B-Share, Bovespa, Buenos, Hang-Seng, MEX-IPC, Nasdaq, Nikkei, Russel, TSE and WIG. The last part of the article is dedicated to correlation coefficients of rates of return for analyzed indices in month of April.
Subjects: 
market efficiency
financial market seasonality
market anomalies
April effect
JEL: 
G11
G14
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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