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The Halloween Indicator: Everywhere and All the TimeBen JacobsenNew Zealand Institute of Advanced Study; Massey University - Department of Economics and Finance, Albany Cherry Yi ZhangMassey 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 seriesDate posted: October 2, 2012 ; Last revised: October 9, 2012Suggested CitationContact Information
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