Do Seasonal Anomalies Still Work?

Dzhabarov, Constantine; Ziemba, William T.

doi:10.3905/jpm.2010.36.3.093

Cited by 57 publications

(14 citation statements)

References 24 publications

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“…Results obtained in the research regarding the sell-in-May-and-go-away effect on the equity market are consistent with those of Bouman and Jacobsen (2002), Jacobsen and Zhang (2012), Andrade et al (2013), Swinkels and van Vliet (2012), Zhang and Jacobsen (2012), Dzhabarov and Ziemba (2010) and Kaeppel (2009, pp. 220-246).…”

Section: Discussionsupporting

confidence: 75%

“…The existence of Halloween effect was affirmed by several more recent studies (Jacobsen & Zhang, 2012;Andrade et al, 2013;Swinkels & van Vliet, 2012;Zhang & Jacobsen, 2012;Dzhabarov & Ziemba, 2010) but Dichtl and Drobetz (2014) could not confirm the fact, that the sell-in-May-and-go-away strategy generated higher rates of return compared to those of buy-and-hold. According to results of Zhang and Jacobsen (2012), the magnitude of the Halloween effect was fluctuating over time and varied depending on sample data.…”

Section: Literature Reviewmentioning

confidence: 82%

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Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Borowski¹

2015

IJEF

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The problem of efficiency of financial markets has always been one of the most important, including, among others, calendar effects. The sell-in-May-and-go-away (also called Halloween) effect is worth considering from the point of view of assessing the portfolio management effectiveness and behavioral finance. This paper tests the sell-in-May-and-go-away strategy and its modifications on the market of 122 equity indices and 39 commodities in the eight approaches, depending on the investment time horizon (October-15 th May, November-15 th May, October-1 st May, November-1 st May) and types of computed rates of return (accrued rates of return and average daily geometric rates of return). Calculations presented in this paper indicate the presence of the sell-in-May-and-go-away effect on the analyzed markets in the classic time frame, as well as in the different time frames.

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Section: Discussionsupporting

confidence: 75%

Section: Literature Reviewmentioning

confidence: 82%

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Borowski¹

2015

IJEF

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“…In addition, research also reveals some patterns for a month-of-the-year effect, where returns in some months are significantly larger/lower than returns in other months. Among these, the January effect is most notably where stock returns in January appear significantly greater than returns in other months of the year (Gultekin & Gultekin, 1983;Ariel, 1987;Dzhabarov & Ziemba, 2010). However, a recent study by Darrat, Li, Liu, & Su (2012) found no support for the January effect in thirty-four international markets.…”

Section: Introductionmentioning

confidence: 87%

Seasonal Anomalies: A Closer Look at the Johannesburg Stock Exchange

Darrat

Chung

2013

CMR

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We examine seasonal anomalies in Johannesburg daily stock returns from January 1973 to September 2012. This paper focuses on three seasonal effects: day-of-the-week, beginning-of-the-month and month-of-the-year. We found no compelling evidence for either a January or December effect in the South African market. Instead, our results support the presence of strong Monday and Tuesday effects, whereby the returns on Monday and Tuesday are significantly lower than the return on the benchmark day of Wednesday. Moreover, the beginning-of-the-month effect is quite pronounced in which second and third trading day returns are significantly larger than returns in other trading days. Nevertheless, these strong day-of-the-week and beginning-of-the-month seasonal effects disappear in the post-2008 period following the global financial crisis. It appears that the South African stock market may have filtered out seasonal anomalies and become more efficient in the aftermath of the recent global financial crisis.

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“…Recently, Gu (2003Gu ( , 2004 finds that the effects declined or disappeared after they became well known, specifically, the January effect is declining and disappearing since late 1980s, and the weekend effect was declining from late 1970s to late 1980s and even reversing, that is, mean return of Mondays are higher than that of Fridays since late 1980s. Hulbert (2008) and Ziemba (2010) show that the January effect is disappearing, He & He (2011) question whether the January effect is replaced by November effect. Easterday et al, (2009) report that the January effect does not occur in some years, while Ciccone (2011), Dzhabarov & Ziemba (2010), Mashruwala & Mashruwala (2011), Ziemba (2011 and Sikes (2014) argue that the January effect still appears in modern U.S. stock markets, particularly for small stocks.…”

Section: Introductionmentioning

confidence: 99%

“…Hulbert (2008) and Ziemba (2010) show that the January effect is disappearing, He & He (2011) question whether the January effect is replaced by November effect. Easterday et al, (2009) report that the January effect does not occur in some years, while Ciccone (2011), Dzhabarov & Ziemba (2010), Mashruwala & Mashruwala (2011), Ziemba (2011 and Sikes (2014) argue that the January effect still appears in modern U.S. stock markets, particularly for small stocks. Mashruwala and Mashruwala (2011) show that stocks of high accruals quality (AQ) outperform low AQ stocks only in January.…”

Section: Introductionmentioning

confidence: 99%

The June Phenomenon and the Changing Month of the Year Effect

2015

AFR

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Mean June return of the U.S. stock market is significantly negative since 2001 and the phenomenon is more apparent for large stocks. June return is negatively related to returns of all the other months and the coefficients are all statistically significant except for January and August, and June return is significantly negatively related to change in short interest. Meanwhile, April is the best month for the DJIA and S&P 500 and October is the best for the NASDAQ. The purpose of this study is to reveal the worst month of the U.S. stock markets in the new century and the dynamics of the month-of-the-year anomaly.

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Do Seasonal Anomalies Still Work?

Cited by 57 publications

References 24 publications

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Seasonal Anomalies: A Closer Look at the Johannesburg Stock Exchange

The June Phenomenon and the Changing Month of the Year Effect

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