The study of the profitability of practical “Sell in May and Go Away” trading strategies in the Stock Exchange of Thailand
Abstract
This study examines the profitability of various practical “Sell in May and Go Away” strategies in SET50 index of the Stock Exchange of Thailand (SET) from 1995-2018. Firstly, the study found empirical evidence that supports “Sell in May” effect, consistent with the evidence by Bouman and Jacobsen (2002) and Jenwittayaroje (2017). This study shows that the average of SET50 index total return is -1.36% in May-October period, but as high as 9.74% in November-April period. In addition, this study investigates the profitability of a number of practical Sell-in-May trading strategies, using TDEX (from 2007-2018) and SET50 Index Futures (from 2006-2018) as a proxy for SET50 index investment, and for leverage purposes. The empirical results of this study show that these practical Sell-in-May trading strategies have higher returns but with much lower risk (as measured by Standard Deviation of returns and CAPM beta) than the TDEX investing strategy. Therefore, such practical Sell-in-May trading strategies can provide a positive and statistically significant Jensen’s Alpha from 0.2% to 5.7% per half year, or about 0.4% to 11.4% per year.
References
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