The January effect and monthly seasonality in the All Gold Index on the Johannesburg Stock Exchange 1987-1997

Abstract

This paper investigates the existence of the January effect and monthly seasonality in the All Gold Index on the Johannesburg Stock Exchange over an 11 year period, 5 January 1987 through 15 May 1997, and for three subsamples of equal length. The results are in severe contrast to the international evidence documented for the stock markets of many other countries, be they developed or emerging markets; there appears to be no January effect or monthly seasonality present in the All Gold Index over the sample period. Although this is perfectly consistent with the notion of market efficiency, it is suggested that the lack of any detectable monthly seasonality, may, in part, be due to the particular market microstructure or operational procedures of the Johannesburg Stock Exchange, consequently it is suggested that further research is required in this area.