'Sell Not Only in May'. Seasonal Effects in Emerging and Developed Markets

24 Pages Posted: 4 Jul 2014

See all articles by F. Henrique Castro

F. Henrique Castro

Universidade de São Paulo

Tomasz Schabek

University of Lodz - Faculty of Economics and Sociology

Date Written: June 24, 2014

Abstract

Described in Bauman and Jacobsen (2002) stock market anomaly still remains unexplained. In long time series and wide geographical spread research “Halloween effect” is significant on 19 amongst 73 markets, but also in 11 amongst 23 with long time series data. Data shows that abnormal returns could be realized also in strategies staring in October, November and December. We conclude that even with control of weather (sun hours), behavioral (sentiment index, number of IPOs) and macroeconomic (industrial production) factors, the effect persists. Analyzing period starting just after publication of Bauman and Jacobsen (2002) the effect vanished almost on all markets – it could be proof of the market efficiency and exploitation of the strategy or just statistical phenomena caused by short period of data sample. “January effect” is detected in much less cases than “Halloween effect”.

Keywords: Seasonal anomalies, Halloween effect, sell in May, stock Markets, stock returns, behavioral variables

JEL Classification: G10, G11, G12, G14

Suggested Citation

Figueiredo de Castro Junior, Francisco Henrique and Schabek, Tomasz, 'Sell Not Only in May'. Seasonal Effects in Emerging and Developed Markets (June 24, 2014). Available at SSRN: https://ssrn.com/abstract=2458515 or http://dx.doi.org/10.2139/ssrn.2458515

Francisco Henrique Figueiredo de Castro Junior

Universidade de São Paulo ( email )

Av. Luciano Gualberto, 908
FEA 3
São Paulo, São Paulo 05508-900
Brazil

HOME PAGE: http://www.fea.usp.br

Tomasz Schabek (Contact Author)

University of Lodz - Faculty of Economics and Sociology ( email )

3/5 POW Street
Lodz, 90-255
Poland

HOME PAGE: http://uni.lodz.pl/

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