LET’S MAKE SOME PROFITS ON SEASONAL DEPRESSION ON THE STOCK MARKET

This paper observes the possibilities of exploiting a behavioural anomaly on stock market. Previous literature confirms existence Seasonal Affective Disorder (SAD) in return series Zagreb Stock Exchange. However, comprehensive set investment guidance based such findings is lacking related literature. That why after confirmation SAD effects this research, focus simulation trading strategies that take information into account. The results indicate there exist and fall Croatian market, alongside precipitation temperature having significant returns as well. Based daily data ranging from January 2010 until December 2020 for market index CROBEX, several are observed compared via performance measures aimed at beating Even with inclusion transaction costs, it shown commented speculators aiming to obtain extra profits certain situations. Simpler considered study. they provide starting point future combine different (mostly calendar) anomalies anomaly. due showing SAD-driven investors who aim apply contrarian against herd can changing risk-aversion others over year.