January Effect in the French Market: The case of CAC40 Index

Efficient Market Hypothesis (EMH) implies that the future price of a stock is unpredictable with respect to currently available information. This study has examined the weak form of the Efficient Market Hypothesis of the French market, by specifically examining the existence of January effect in the CAC 40 index in France. Daily observations for aperiod of ten years from March 1, 2005 until September 30, 2015 have been used. Different statistically tests were applied including symmetric GARCH and asymmetric GARCH models (mainly T-GARCH). January month did not exhibit higher return, suggesting that there is no opportunity for investors to take advantage of any month. Furthermore,no significant return was found in any other month, suggesting that the CAC 40 index follows a random walk and hence the French market is weak form efficient

Keywords:

Efficient Market Hypothesis , CAC40 , French market , January effect , GARCH