Stock Market Performance: High and Low Months
University of Maryland, Eastern Shore - School of Business and Technology; University of Maryland, College Park
June 5, 2013
This study analyzes stock market performance in 70 countries to determine which months generate higher returns and which months exhibit lower returns. Results from numerical analyses and t-tests show that returns are significantly higher in January, February, April, July and December relative to the other months of the year. Return in the month of September is the lowest compared to the rest of the months followed by returns in August, October, June, November, May and March, respectively. The findings seem to offer evidence of the other monthly anomalies (April and December anomalies, in this case) in addition to the January anomaly reported in the literature based on the analyses of market level data.
Number of Pages in PDF File: 17
Keywords: stock market performance, January effect, April effect, December effect
JEL Classification: G10, G11, G15working papers series
Date posted: June 8, 2013 ; Last revised: October 31, 2013
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