“Sell not only in May”. Seasonal Effects on Stock Markets

Tomasz Schabek () and Henrique Castro ()
Additional contact information
Tomasz Schabek: University of Lodz
Henrique Castro: Business and Accounting of the University of Sao Paulo

Dynamic Econometric Models, 2017, vol. 17, 5-18

Abstract: Described in literature stock market anomaly still remains unexplained. In long time series regressions and wide geographical spread research, “Halloween effect” is significant on 19 amongst 73 markets, but also on 11 amongst 23 with long time series data. The data shows that abnormal returns could be realized also in strategies starting 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.

Keywords: seasonal anomaly; behavioral factor; Halloween indicator; January effect; sell in May (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 Q47 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://apcz.umk.pl/DEM/article/view/DEM.2017.001/13524 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:17:y:2017:p:5-18

Access Statistics for this article

Dynamic Econometric Models is currently edited by Mariola Pilatowska

More articles in Dynamic Econometric Models from Uniwersytet Mikolaja Kopernika
Bibliographic data for series maintained by Miroslawa Buczynska ().