School Holidays and Stock Market Seasonality

Abstract

Using school holiday data from 47 countries, we find a strong link between school holidays and market returns. Stock market returns in the month after major school holidays are 0.6% to 1% lower than in other months. This explains, but is not limited to, the “September effect.” In the United States, September is the only month that exhibits a negative average return over the past century. The postschool holiday effect remains even with monthly fixed effects. We explore the explanation that the effect is due to investor inattention during school holidays, which slows the incorporation of (negative) information in security prices.

Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time

“…The authors did not find the confirmation of the January effect but confirmed the month of the years, the day of the week, the holiday, and the week of the year effects. The recent work Fang et al (2018) presents a strong link between school holidays and market returns across 47 countries. The authors demonstrate that the returns in the month after major school holidays are 0.6% to 1% lower than at other times.…”