In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly analysis and whole-year seasonal strategies such as Sell in May and Halloween effect. The analysis is done across six indices, DAX, MDAX, SDAX, Eurostoxx 50, Stoxx Europe Mid 200...

The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November-April) than over the summer half of the year (May-October). The vast majority of studies that investigated...