Seasonality in Holding Period Returns

Posted: 15 Apr 1998

See all articles by Jason Zhanshun Wei

Jason Zhanshun Wei

University of Toronto - Rotman School of Management

Date Written: August 1996

Abstract

The focus of the extant stock market seasonality literature has been on the natural calendar intervals, such as day of the week or month of the year, and a month is the longest holding period that has been looked at. Using monthly indexes for ten local markets and the world market, this paper uncovers seasonalities of a different form. Specifically, it finds that seasonalities also exist for holding periods longer than a month. Indeed, seasonalities are detected for holding periods ranging from one month to eleven months. For example, for a six-month holding period, December or November are the best times to start the investment, while May or June are the worst times. The average difference (across the ten local markets) in annualized returns between the two investment periods is 23.8%! Moreover, the following intra-year pattern is found: January and December have the biggest one month growth; most of the growth within a year occurs between January and August; and the markets either are sluggish or decline between August and November.

JEL Classification: C14, F30, G15

Suggested Citation

Wei, Jason Zhanshun, Seasonality in Holding Period Returns (August 1996). Available at SSRN: https://ssrn.com/abstract=7706

Jason Zhanshun Wei (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada
416-978-3698 (Phone)
416-971-3048 (Fax)

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