JSE Seasonality


Seasonality is the long-term tendency for equities and other financial instruments to consistently behave differently during certain times of the year, month or day. This behavior usually remains consistent over multiple years, thus leading to an ability for one to quantify the yearly behaviour into a data point to add to their analysis system.

For example, the seasonality experienced by the retail sector during holiday seasons like Christmas or the preceding ‘Black Friday” where consumers use the day’s decreased prices as an opportunity to buy en masse, resulting in a perceivable yearly spike in consumer-related stocks

While many new traders notoriously use shorter periods of plus/minus 5 years to establish what they believe to be seasonality patterns, the far more appropriate 10 to twenty year periods usually definitively disprove or prove the credibility of those patterns. As such seasonality studies usually span a ten to twenty year period for more fidelity and reliability.

The largest causes of these periods are the expected market events, like corporate releases, sometimes the basic seasons of a calendar year or known yearly significant changes in weather or environmental conditions that provide significant enough market deviations to be noticed or traded.


Due to public misconceptions, certain myths develop, that tend to be parroted in the media, leading to famous sayings, Many myths persist long after what caused them ceases to affect the markets. Some of them due to the original factors being replaced by seemingly similar factors. Like in in the “Sell In May, Go Away” expression originated by Base Metal production cycles being usurped by the media long after and applied to the expectation for weakness by broadly based North American equity indices such as the S&P 500 Index and the TSX Composite Index from the end of May to the end of September. The myth is not supported by fact.

Another example is the “sell in may, go away” expression, which came from a time in Europe where the base metal sector was strong at that time. Base Metal Equities and prices would reach peak high in may and fall into the end of September, providing a consistent sell opportunity each year.

The actual reason was an annual operations shutdown of Base Metal Smelters, before Europe’s extended holiday season. And though the media continues to use this phrase at times, it is no longer supported by actual market activity, Due partly to the shift in the Base Metal Smelting industry to other regions like the Far East and South America, and changes in the European Region’s Market structure in general.


The calculation involved in seasonality makes use of two particular data points, being: the average gain or loss of an equity during that particular month over x-amount of years and the potential gain or loss for the month over that same x-amount of years. This is done for all 12 months per year.

Seasonality is generally a historical indicator. Looking at a seasonality graph of any kind, in any field, one should use it as a guide to potentially find underlying market tendencies that cause the seasonal behavior rather than as a definitive guide as to what will happen in the markets themselves.

And so it functions as a supplement to an already pre-existing fundamental analysis edge, rather than actionable technicals. Used in the proper way it can prove very illuminating.


Below to our own attempt at quantifying seasonality on the JSE stock exchange in South Africa over the period of 18 years. Spend some time with it, and tell us what you’ve discovered.

The J203 seasonality workbook will be updated on a monthly basis to ensure it always reflects the most recent months’ data as possible. The link will be made available on the trading tools page.


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