STUDY OF THE “SELL IN MAY AND GO AWAY” EFFECT APPLIED TO PSI20

Abstract

The present study has as main objective to study one of the distortions of the capital market, defended by behavioral finance theorists, that contradicts the classical theory, which is the so-called “Sell in May and Go Away” Effect. This effect was tested in the average returns of the Portugal Stock Index (PSI-20). To test the existence of this theory a historical database of the average market yields of the PSI-20 was used in the last 119 months ( January 2010 to November 2019). The methodology applied for data processing was based on time series. In general, it is concluded that there is no effect of seasonality between the months of October to May (hypothesis considered in the “Sell in May and Go Away” Effect). In other words, the study presented here suggests that it is not possible to validate the existence of the referred effect in the most representative Portuguese capital market in the referred time interval.