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 show strong evidence of the January effect in the selected US ETFs, with consistently higher positive returns in January compared to other months. South African ETFs exhibited a partial January effect, while ETFs from India, China, the UK, and Japan showed no observable January effect, suggesting greater market efficiency in these regions. These findings challenge the efficient market hypothesis (EMH) in the US market, where persistent seasonal anomalies suggest exploitable inefficiencies, while also broadening our understanding of market efficiency across global ETF markets and emphasising differences in seasonal effects between developed and developing markets.