The June Phenomenon and the Changing Month of the Year Effect

Abstract

Mean June return of the U.S. stock market is significantly negative since 2001 and the phenomenon is more apparent for large stocks. June return is negatively related to returns of all the other months and the coefficients are all statistically significant except for January and August, and June return is significantly negatively related to change in short interest. Meanwhile, April is the best month for the DJIA and S&P 500 and October is the best for the NASDAQ. The purpose of this study is to reveal the worst month of the U.S. stock markets in the new century and the dynamics of the month-of-the-year anomaly.