Abstract

http://ssrn.com/abstract=2154873
 
 

References (33)



 
 

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The Halloween Indicator: Everywhere and All the Time


Ben Jacobsen


University of Edinburgh - Business School; New Zealand Institute of Advanced Study

Cherry Yi Zhang


Nottingham University Business School China; Massey University - School of Economics and Finance

October 1, 2012


Abstract:     
We use all available stock market indices for all 108 stock markets and for all time periods to study the ‘Halloween indicator’ or ‘Sell-in-May’effect. In total 55,425 monthly observations over 319 years show winter returns – November through April – are 4.52% (t-value 9.69) higher than summer returns. The effect is increasing in strength: The average difference between November-April and May-October returns is 6.25% over the past 50 years. A Sell-in-May trading strategy beats the market more than 80% of the time over 5 year horizons. The data allows us to address a number of (methodological) issues that have been raised with respect to the effect.

Number of Pages in PDF File: 55

Keywords: seasonal anomalies, sell in May, Halloween indicator, long time series data

JEL Classification: G10, G14

working papers series


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Date posted: October 2, 2012 ; Last revised: February 20, 2014

Suggested Citation

Jacobsen, Ben and Zhang, Cherry Yi, The Halloween Indicator: Everywhere and All the Time (October 1, 2012). Available at SSRN: http://ssrn.com/abstract=2154873 or http://dx.doi.org/10.2139/ssrn.2154873

Contact Information

Ben Jacobsen
University of Edinburgh - Business School ( email )
University of Edinburgh
29 Buccleuch Place
Edinburgh, Scotland EH8 9JS
UNITED KINGDOM
New Zealand Institute of Advanced Study ( email )
Auckland
New Zealand
Cherry Yi Zhang (Contact Author)
Nottingham University Business School China ( email )
199 Taikang East Rd.
Ningbo, 315100
China

Massey University - School of Economics and Finance ( email )
New Zealand
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