Dylan James Steyn , Jordy Erin Bolton
Abstract
The January effect, a well-documented calendar anomaly, has been extensively studied in global financial markets, especially concerning individual stocks. While some research has explored this phenomenon in index funds and real estate investment trusts (REITs), limited attention has been given to exchange-traded funds (ETFs), despite their rapid global growth. This research paper bridges this gap by examining the January effect in ETFs listed in selected developed (the United States of America (USA), the United Kingdom (UK), and Japan) and developing (South Africa, India, and China) markets. Using daily closing prices from 2019 to 2023, the study calculates daily log and monthly average returns. An empirical framework incorporating ordinary least squares (OLS) regression and Generalised Autoregressive Conditional Heteroskedasticity (GARCH (1,1)) models is applied to test for the January effect. The results indicate evidence of the January effect in the selected US ETFs, a partial presence in South African ETFs, and no observable presence in ETFs from India, China, the UK, and Japan. These findings enhance the broader understanding of market efficiency across global ETF markets and underscore differences in seasonal effects between developed and developing markets.