Economics

"Sell in May and go away": does it work for Asian stockmarkets?

We take a look at the hard data to see how they stack up against the popular market saying and find one market where it might be helpful.

22 May 2017

Robin Parbrook

Robin Parbrook

Co-Head of Asian Equity Alternative Investments

King Fuei Lee

King Fuei Lee

Head of Asian Equities (Singapore)

Invariably at this time of year, the old adage of “sell in May and go away” starts to ring again. The saying stems from an informal observation that the months from May to October typically delivered lower returns compared to the other months of the year.

As such, investors could be better off selling their stocks and holding cash, before returning to markets in November.

A range of academic studies have found evidence of this “Halloween Indicator” (which we think is a far more professional-sounding alternative name to the adage).

For example, a paper published in the American Economic Review1 in 2002 actually discovered evidence of this seasonality effect. The authors Sven Bouman and Ben Jacobsen investigated 37 different markets over the period of 1970-1998, and found that 36 of the countries in their sample had evidence of this “sell in May” effect.

However, the adage has been disproved as far as the FTSE100 is concerned and data appear to be less conclusive in Asia Pacific.

Crunching the numbers

According to our calculations, over the period of 1990-2016 the regional Asia ex-Japan market has typically delivered a median return of +2.8% over the months of May to October, with the returns in 17 of those 27 periods being positive.

Across the various countries in the region, there is also scant evidence of the Halloween effect. In fact, in Hong Kong, there is a decidedly anti-Halloween effect, with the median return of the market being +8.1% and delivering positive returns in 19 of those periods.

One exception

However, there is indeed one country in this region where the “sell-in-May effect” appears to be particularly strong, and that is Taiwan.

Over the period of 1990-2016, the MSCI Taiwan index has delivered a median return of -6.0% during the months of May to October, with the market posting positive returns in only 10 out of the 27 years.

On a monthly basis, the months of May, June, July and August have historically delivered negative returns, with the numbers being particularly ugly in May and August.

Valuation indicators

Our valuation indicators for the country have also started to be updated. After a market rally of +38%, the market now looks far less attractive.

Please remember that past performance is not a guide to future performance and may not be repeated. The value of investments and the income from them may go down as well as up and investors may not get back the amounts originally invested.  


1. Bouman, Sven, and Ben Jacobsen. "The Halloween indicator," Sell in May and go away": Another puzzle." The American Economic Review 92.5 (2002): 1618-1635.

Important Information: This communication is marketing material. The views and opinions contained herein are those of the author(s) on this page, and may not necessarily represent views expressed or reflected in other Schroders communications, strategies or funds. This material is intended to be for information purposes only and is not intended as promotional material in any respect. The material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. It is not intended to provide and should not be relied on for accounting, legal or tax advice, or investment recommendations. Reliance should not be placed on the views and information in this document when taking individual investment and/or strategic decisions. Past performance is not a reliable indicator of future results. The value of an investment can go down as well as up and is not guaranteed. All investments involve risks including the risk of possible loss of principal. Information herein is believed to be reliable but Schroders does not warrant its completeness or accuracy. Some information quoted was obtained from external sources we consider to be reliable. No responsibility can be accepted for errors of fact obtained from third parties, and this data may change with market conditions. This does not exclude any duty or liability that Schroders has to its customers under any regulatory system. Regions/ sectors shown for illustrative purposes only and should not be viewed as a recommendation to buy/sell. The opinions in this material include some forecasted views. We believe we are basing our expectations and beliefs on reasonable assumptions within the bounds of what we currently know. However, there is no guarantee than any forecasts or opinions will be realised. These views and opinions may change.  To the extent that you are in North America, this content is issued by Schroder Investment Management North America Inc., an indirect wholly owned subsidiary of Schroders plc and SEC registered adviser providing asset management products and services to clients in the US and Canada. For all other users, this content is issued by Schroder Investment Management Limited, 31 Gresham Street, London, EC2V 7QA. Registered No. 1893220 England. Authorised and regulated by the Financial Conduct Authority.