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The September Phenomenon of US Equity Market

In: Advances In Quantitative Analysis Of Finance And Accounting

Author

Listed:
  • Anthony Yanxiang Gu

    (Jones School of Business, SUNY College at Geneseo, Geneseo, New York 14454, USA)

  • John T. Simon

    (College of Business and Public Administration, Governors State University, University Park, Illinois 60466, USA)

Abstract

Mean September return of the US stock market is significantly negative and is the lowest among the calendar months. The phenomenon is more apparent for large stocks and looks strengthened recently, particularly for large stocks. September performance of the stock market is directly connected to GDP growth, inflation rate, and stock market performance of the year, and inversely related to interest rate. Tax-loss selling, “window dressing”, and macroeconomic seasonality could also contribute to the poor September performance.

Suggested Citation

  • Anthony Yanxiang Gu & John T. Simon, 2007. "The September Phenomenon of US Equity Market," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 14, pages 283-297, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812772213_0014
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    Cited by:

    1. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.

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