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Dynamic Econometric Models

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

Authors

  • Tomasz Schabek University of Lodz http://orcid.org/0000-0002-4362-8864
  • Henrique Castro School of Economics, Business and Accounting of the University of São Paulo

DOI:

https://doi.org/10.12775/DEM.2017.001

Keywords

behavioral factors, Halloween indicator, January effect, seasonal anomaly, sell in May.

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.

References

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Dynamic Econometric Models

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Published

2016-12-28

How to Cite

1.
SCHABEK, Tomasz and CASTRO, Henrique. “Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets. Dynamic Econometric Models. Online. 28 December 2016. Vol. 17, no. 1, pp. 5-18. [Accessed 7 July 2025]. DOI 10.12775/DEM.2017.001.
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Vol. 17 (2017)

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