The other January effect in the Central and Eastern Europe stock markets

On the equity market, the ‘other January effect’ indicates that the returns for the month of January may have predictive power for the following months of February to December. The effects of this calendar anomaly on the equity markets of the countries of Central and Eastern Europe have been rarely studied and are analysed here in terms of the effects on eleven stock markets from January 1994 to December 2017. The results reveal the existence of an anomaly of this type for most of the stock markets studied but that there is no increase in the associated level of risk. A profitable investment strategy can be used to extract abnormal returns related to this market inefficiency.