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“Sell not only in May”. Seasonal Effects on Stock Markets

Author

Listed:
  • Tomasz Schabek

    (University of Lodz)

  • Henrique Castro

    (Business and Accounting of the University of Sao Paulo)

Abstract

Described in literature stock market anomaly still remains unexplained. In long time series regressions and wide geographical spread research, “Halloween effect” is significant on 19 amongst 73 markets, but also on 11 amongst 23 with long time series data. The data shows that abnormal returns could be realized also in strategies starting in October, November and December. We conclude that even with control of weather (sun hours), behavioral (sentiment index, number of IPOs) and macroeconomic (industrial production) factors, the effect persists.

Suggested Citation

  • Tomasz Schabek & Henrique Castro, 2017. "“Sell not only in May”. Seasonal Effects on Stock Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 5-18.
    • Handle: RePEc:cpn:umkdem:v:17:y:2017:p:5-18
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    File URL: https://apcz.umk.pl/DEM/article/view/DEM.2017.001/13524
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    References listed on IDEAS

    as
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    Cited by:

    1. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020. "Halloween Effect in developed stock markets: A historical perspective," International Economics, CEPII research center, issue 161, pages 130-138.
    2. Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.

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    More about this item

    Keywords

    seasonal anomaly; behavioral factor; Halloween indicator; January effect; sell in May;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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