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

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