Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/150534
Authors: 
Heidorn, Thomas
Maier, F.
Winker, M.
Year of Publication: 
2017
Series/Report no.: 
Working Paper Series, Frankfurt School of Finance & Management 224
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.
Subjects: 
Seasonality
Day-of-the-Week Effect
Sell in May
Halloween Effect
Monday Effect
JEL: 
F33
F37
G11
G13
G18
G20
G24
G28
Document Type: 
Working Paper

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