Sell in May and Go Away: Evidence from China

Biao Guo, Xingguo Luo and Ziding Zhang

Finance Research Letters, 2014, vol. 11, issue 4, 362-368

Abstract: Using the Chinese stock market data from 1997 to 2013, this paper examines the “Sell in May and Go Away” puzzle first identified by Bouman and Jacobsen (2002). We find strong existence of the Sell in May effect, robust to different regression assumptions, industries, and after controlling for the January or February effect. However, part of the puzzle is subsumed by the seasonal affective disorder effect. We then construct a trading strategy based on this puzzle, and find that it outperforms the buy-and-hold strategy and could resist the market downside risk during large recession periods.

Keywords: Sell in May effect; Chinese stock market; Seasonal affective disorder; Downside risk (search for similar items in EconPapers)
JEL-codes: G02 G11 G12 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612314000579
Full text for ScienceDirect subscribers only

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:eee:finlet:v:11:y:2014:i:4:p:362-368

DOI: 10.1016/j.frl.2014.10.001

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().