Testing the hypothesis that returns, on average, are higher during November-April months than in May-October in financial markets. Comparison of monthly MSCI World Index closure prices for 36 countries in the chosen sample.

The data indicates satistical significance (p => 10%) in 7 countries; Austria, Denmark, Ireland, Japan, Indonesia, Korea and Portugal.

The results produced are:

• 36 regressions: for each country in the sample. Monthly returns are regressed against a dummy variable (1 if month is November-April and 0 if month is May-October).

• A table with relevant regression output parameters, displayed by country.

• A table with November-April changes in percentage (average per country for the period) against May-October returns (average per country for the period). Further highlights November-April as a more profitable.