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Tag Archives: Halloween indicator
Does the S&P 500 exhibit seasonality through the year?
Are there times of the year when returns are better or worse? Abnormal Returns prompted this question with “SAD and the Halloween indicator” in which it is claimed that the US market tends to outperform from about Halloween until April. Data The data consisted of 15,548 daily returns of the S&P 500 starting in 1950. … Continue reading
Posted in Quant finance, R language Tagged Halloween indicator, S&P 500 5 Comments