The Existence of Sell in May and Go Away in ASEAN-5

Authors

  • Naila 'Ainaya Sholihati Universitas Alma Ata, Indonesia
  • Shindy Dwita Nuansari Universitas Alma Ata, Indonesia

DOI:

https://doi.org/10.35917/tb.v25i2.497

Keywords:

Sell in May and Go Away, January effect, behavioral finance theory, stock returns

Abstract

This research aims to test the existence of Sell in May and Go Away in the ASEAN-5 market. This quantitative research was conducted from May 2013 to October 2023 on the five founding countries of ASEAN. The dynamic panel data regression approach with the Generalized Method of Moment (GMM) estimation system which includes the unit root test, sargan test, and Arellano-Bond test with the help of Stata software. This research shows that the November-April period positively affect stock returns. This research found that there was Sell in May and Go Away in 4 of 5 ASEAN countries. This research also found that the January effect cannot strengthen the positive relationship between the November-April period and stock returns.

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Published

2024-12-31

How to Cite

Sholihati, N. ’Ainaya, & Nuansari, S. D. (2024). The Existence of Sell in May and Go Away in ASEAN-5. Telaah Bisnis, 25(2), 88–98. https://doi.org/10.35917/tb.v25i2.497

Issue

Vol. 25 No. 2 (2024): December 2024

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