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The effectiveness of seasonal investments in European Share Portfolios

Author

Listed:
  • Heidorn, Thomas
  • Maier, F.
  • Winker, M.

Abstract

In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly analysis and whole-year seasonal strategies such as Sell in May and Halloween effect. The analysis is done across six indices, DAX, MDAX, SDAX, Eurostoxx 50, Stoxx Europe Mid 200 and Stoxx Europe Small 200. The observation period is from 1990 to 2015. The evidence found in this paper cannot support the Monday effect across all Indices. The Sell in May effect and Halloween effect were found to be existent over the whole observation period and being mostly influenced by the absence of investment in August and September.

Suggested Citation

  • Heidorn, Thomas & Maier, F. & Winker, M., 2017. "The effectiveness of seasonal investments in European Share Portfolios," Frankfurt School - Working Paper Series 224, Frankfurt School of Finance and Management.
  • Handle: RePEc:zbw:fsfmwp:224
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    More about this item

    Keywords

    Seasonality; Day-of-the-Week Effect; Sell in May; Halloween Effect; Monday Effect;
    All these keywords.

    JEL classification:

    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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