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“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets
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| Creator |
Schabek, Tomasz; University of Lodz
Castro, Henrique; School of Economics, Business and Accounting of the University of São Paulo |
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| Subject |
behavioral factors; Halloween indicator; January effect; seasonal anomaly; sell in May.
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| Description |
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.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2016-12-28
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2017.001
10.12775/DEM.2017.001 |
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| Source |
Dynamic Econometric Models; Vol 17 (2017); 5-18
Dynamic Econometric Models; Vol 17 (2017); 5-18 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2017.001/13524
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| Rights |
Copyright (c) 2016 Dynamic Econometric Models
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