The Extended January Effect on London Stock Exchange

Since their discovery, many calendar anomalies experienced different types of changes. This paper explores the possibility of enlargement of the time interval specific to the January Effect on London Stock Exchange. We investigate the abnormal returns presence on an extended time interval that comprises the trading days from January, the second half of December and the first half of February. In this investigation we employ closing values of five indexes from London Stock Exchange for two periods: January 1998 – December 2010 and January 2011 – February 2023. We found high abnormal returns on two indexes in case of the first period and for all five indexes during the second period.