The Halloween Indicator: Everywhere and All the Time
New Zealand Institute of Advanced Study; Massey University - Department of Economics and Finance, Albany
Cherry Yi Zhang
Nottingham University Business School China; Massey University - School of Economics and Finance
October 1, 2012
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.
Keywords: seasonal anomalies, sell in May, Halloween indicator, long time series data
JEL Classification: G10, G14working papers series
Date posted: October 2, 2012 ; Last revised: October 28, 2013
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