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Seasonal Predictability of Stock Market Returns

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  • W. Marquering

Abstract

This paper focuses on the seasonal predictability of stock market returns. we investigate the statistical significance of predicting stock returns from several calendar dummies. Our main findings, using monthly stock market returns from Belgium. Germany, the Netherlands, UK and US, are that the January effect disappears over time, but a strong support is found for the Sell-in-May effect. This implies that for each country, the returns are on average significantly higher in the winter than i the summer periods. Finally, we only find moderate support for a decennial cycle. Years ending in five have historically been the best years to invest in US stock, but this cycle effect is not found in the other countries.

Suggested Citation

  • W. Marquering, 2002. "Seasonal Predictability of Stock Market Returns," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(4), pages 557-576.
    • Handle: RePEc:ete:revbec:20020404
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    Cited by:

    1. Shahid Raza & Sun Baiqing & Imtiaz Hussain & Pwint Kay-Khine, 2023. "Do good and bad news affect the day of the week effect? An analysis of the KSE-100 Index," SN Business & Economics, Springer, vol. 3(7), pages 1-22, July.
    2. Fatima Syed & Naimat U. Khan, 2017. "Islamic Calendar Anomalies: Evidence from Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 104-122, September.

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