New research by Ben Jacobsen and Cherry Zhang of Massey University in New Zealand shows just how powerful is the "buy on Halloween, sell on May Day" rule. They studied the entire history of world stock markets and found that in 81 of 108 national markets, shares did better on average in the six months from Halloween to May Day than they did in the six months from May Day to Halloween. In only two markets was the opposite case in a statistically significant sense: Nepal and Bangladesh.
Averaged across all markets and all history, equity returns are 4.5 percentage points higher from October 31 to April 30 than they are from April 30 to October 31. For example, in the UK since 1693, returns have averaged 2.4 per cent in the November-April months and -1 one per cent in the May-October months - a gap of 3.4 percentage points. In the US since 1791, the gap has been 1.7 percentage points. In Germany since 1870, it has been 5.3 percentage points. And, in Japan since 1914, it has been 8.3 percentage points. And so on.