The September Phenomenon of US Equity Market

AbstractMean September return of the US stock market is significantly negative and is the lowest among the calendar months. The phenomenon is more apparent for large stocks and looks strengthened recently, particularly for large stocks. September performance of the stock market is directly connected to GDP growth, inflation rate, and stock market performance of the year, and inversely related to interest rate. Tax-loss selling, “window dressing”, and macroeconomic seasonality could also contribute to the poor September performance.