Nov

1

 Market Tricks and Treats:

Thackray's 2011 Investor's Guide refers to the effect as "Super Seven Days": The last four days of the month and the first three days of the following month typically yield higher returns than other periods during the month. Reasons for strength are month end "window dressing" by institutional investors and new monthly fund inflows into pensions and mutual funds that subsequently are invested into equity markets.

The month-end trade phenomenon is notable around Halloween. Gains are not related to sales of candy and spooky costumes.

Kim Zussman responds:

Checked this with SPY (2000-2010) by comparing returns of super seven days to the seven days just before (paired t-test):

Paired T for super - presuper

                 N       Mean     StDev   SE Mean
super         129   0.006008  0.031161  0.002744  T=2.43
presuper    129  -0.003947  0.030088  0.002649
Difference  129   0.009955  0.046565  0.004100 

Definitely worked in the whole period. However dividing data into 2005-10 and 2000-05 shows the effect was mainly from the older period and recently faded out:

Paired T for 2005-2010 - 2005-2010pre

 N       Mean     StDev   SE Mean
2005-2010       63   0.006552  0.034890  0.004396  T=1.4
2005-2010pre  63  -0.002733  0.032691  0.004119
Difference       63   0.009285  0.051677  0.006511

Paired T for 2000-2005 - 2000-2005pre

                    N       Mean     StDev   SE Mean
2000-2005      66   0.005489  0.027395  0.003372  T=2.1
2000-2005pre  66  -0.005104  0.027578  0.003395
Difference       66   0.010594  0.041495  0.005108


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