Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Abstract

The problem of efficiency of financial markets has always been one of the most important, including, among others, calendar effects. The sell-in-May-and-go-away (also called Halloween) effect is worth considering from the point of view of assessing the portfolio management effectiveness and behavioral finance. This paper tests the sell-in-May-and-go-away strategy and its modifications on the market of 122 equity indices and 39 commodities in the eight approaches, depending on the investment time horizon (October-15 th May, November-15 th May, October-1 st May, November-1 st May) and types of computed rates of return (accrued rates of return and average daily geometric rates of return). Calculations presented in this paper indicate the presence of the sell-in-May-and-go-away effect on the analyzed markets in the classic time frame, as well as in the different time frames. ation in the country. Markets determine nominal exchange rate should prevail in the economy. The country should regulate its foreign reserve policy by setting a threshold, above which excess deposit should be plough back to the domestic economy inform of investments rather than support excessive importation.