{"title":"“不要只在5月份卖出”。新兴市场和发达市场的季节性效应","authors":"Tomasz Schabek, Henrique Gonçalves de Castro","doi":"10.12775/DEM.2017.001","DOIUrl":null,"url":null,"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.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"5-18"},"PeriodicalIF":0.0000,"publicationDate":"2016-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets\",\"authors\":\"Tomasz Schabek, Henrique Gonçalves de Castro\",\"doi\":\"10.12775/DEM.2017.001\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":31914,\"journal\":{\"name\":\"Dynamic Econometric Models\",\"volume\":\"17 1\",\"pages\":\"5-18\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-12-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Dynamic Econometric Models\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12775/DEM.2017.001\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Dynamic Econometric Models","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12775/DEM.2017.001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets
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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