“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets

Abstract

Described in Bauman and Jacobsen (2002) 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 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.