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

This paper investigates the existence of the January effect and monthly sea sonality in the All Gold Index on the Johannesburg Stock Exchange over an 1 1 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 e vidence documented for the stock markets of many other countries, be they d eveloped or emerging markets; there appears to be no January effect or mont hly seasonality present in the All Gold Index over the sample period. Altho ugh this is perfectly consistent with the notion of market efficiency, it i s suggested that the lack of any detectable monthly seasonality, may, in pa rt, be due to the particular market microstructure or operational procedure s of the Johannesburg Stock Exchange, consequently it is suggested that fur ther research is required in this area.