The “Sell in May” Effect: An Empirical Analysis from Turkey, Indonesia, France, and Germany

Huseyin Ocal, Sureyya Imre, Anton Abdulbasah Kamil

Abstract

This study aims to provide empirical insight into the “Sell in May” (SIM) effect in Turkey, Indonesia, France, and Germany stock exchange markets. We examined Turkey BIST All, BIST Dividend (XTM25), Indonesia IDX Composite, France CAC All (PAX), MSCI France High Dividend Yield (MSCIFRDIV), and Germany CDAX, DivDAX price indices, and individual stocks in dividend indices. Average monthly return data for January 2015 and December 2020 were used for the research. Linear, Quantile regression, and Autoregressive moving average (ARMA) models were employed. The Linear and Quantile regression results revealed no SIM effect for BIST All, MSCI France High Dividend Yield (MSCIFRDIV), CDAX, and DivDAX indices. Besides, regression results revealed no SIM effect for BIST Dividend (XTM25) and Indonesia IDX Composite indices. The Quantile regression model for individual stocks in the BIST Dividend (XTM25) index revealed significant positive SIM effects for KORDS, ANSGR, SISE, SAHOL, AKSA, AKGRT, and EREGL. There is no significant positive SIM effect for stocks in the IDX High Dividend (IDXHIDIV20) index. There are significant positive SIM effects for SCHN and SASY of MSCI France High Dividend Yield (MSCIFRDIV) and SIEGN of the DivDAX indices. We recommend for investment managers to closely follow stocks with a positive SIM effect and their forecasted values if they want to take advantage of the market anomaly. The traditional SIM period and dividend payout period coincide with each other. For this reason, the dividend index is a valuable variable that previous researchers did not consider. In our opinion, dividend index and individual stock level SIM inquiry for markets under review is new in the SIM research and leads to new knowledge discovery. Another original point of the article is that it reveals stocks with positive SIM effects and their forecasted values. Forecasting values charts for stocks in each market shed light on stock investors about the price movements of the stock in the years ahead.

 

Keywords: “Sell in May” effect, linear regression, quantile regression, autoregressive moving average, investment decisions, efficient market hypothesis.


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