Research Paper on In the European, American, Australian, and Asian Markets, the Month-of-the-Year Effect

Description

Title: In the European, American, Australian, and Asian Markets, the Month-of-the-Year Effect

Abstract: This study investigates whether or not the month-of-the-year effects exist on the four continents of Europe, Asia, America, and Oceania. In order to compare monthly returns from January 1990 to December 2013, nine indexes were examined. After that, the January effect, the Halloween effect, and the October effect were looked at, with the statistical significance of each effect being tested using an OLS linear regression to see if it consistently presents opportunities for investors. The Halloween effect benefits investors with globally diversified portfolios, providing a 1.2% average monthly excess return in winter and spring. The pre-dotcom-bubble period also performed better than the post-dotcom-bubble period. There is statistical support for lower average monthly returns in January (the January effect) and in months other than October (the October effect) during the global post-dotcom-bubble period, which goes against the literature. The January effect appears to be different from what might have otherwise been anticipated in the later period due to the dotcom bubble. The impact on continental incidence is inconsistent and unclear. In the FTSE, DAX, Dow Jones, BOVESPA, and N225 indexes taken individually, the Halloween effect is shown to be a successful strategy. For globally diversified portfolios, the January effect excess average return was only statistically significant during the pre-dotcom bubble period. This study adds to a more comprehensive, comparable global understanding of the month-of-the-year effect.

Keywords: bubble; dotcom; Halloween effect; month-of-the-year effect

Paper Quality: SCOPUS / Web of Science Level Research Paper

Subject: Economics

Writer Experience: 20+ Years

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