The September Phenomenon of US Equity Market

Anthony Yanxiang Gu and John T. Simon
Additional contact information
John T. Simon: College of Business and Public Administration, Governors State University, University Park, Illinois 60466, USA

Chapter 14 in Advances in Quantitative Analysis of Finance and Accounting, 2007, pp 283-297 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractMean September return of the US stock market is significantly negative and is the lowest among the calendar months. The phenomenon is more apparent for large stocks and looks strengthened recently, particularly for large stocks. September performance of the stock market is directly connected to GDP growth, inflation rate, and stock market performance of the year, and inversely related to interest rate. Tax-loss selling, “window dressing”, and macroeconomic seasonality could also contribute to the poor September performance.

Keywords: Monte Carlo Simulations; REIT; IPO; Fractional Integration; Seasonality; Long Memory; Macroeconomic Shocks; VAR; Interest Rates (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812772213_0014 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812772213_0014 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789812772213_0014

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().