Abstract

In the study, it is investigated whether there is a Mark Twain (October Effect) effect on the S&P 500 index using the return data between January 1927 and December 2020. Instead of the January effect, which is common in the calendar effect literature, the October month anomaly is examined. Dummy variable regression models from parametric tests and Mann Whitney U test (nonparametric test) were used to test the effect. As a result, no Mark Twain effect was found for the relevant period in the S&P 500 index, and this finding was confirmed by the Mann Whitney U test.