Calendar Anomalies in Sustainable Investing: The Case of STOXX Global ESG Social Leaders Index

Calendar anomalies are well documented in traditional capital markets, but their occurrence in the context of the rapidly growing ESG (Environmental, Social, and Governance) sustainable investment segment remains almost entirely unexplored. This is particularly true for specialised social indices, creating a significant gap in the literature. To fill this gap, this study analyses four calendar anomalies (January Effect, July Effect, October Effect and December Effect) in the STOXX Global ESG Social Leaders Index (2011–2024). Unlike standard statistical tests, we used wavelet transformation (Daubechies wavelet, db4), because it allows us to capture both short-term and long-term volatility patterns, which is particularly useful in the analysis of irregular seasonal phenomena. The results reveal that the anomalies studied do not show any consistent patterns. The January effect was unstable, the July effect showed some stability only in recent years, and the October effect correlated with periods of increased macroeconomic uncertainty. Although the December effect was observed in most periods, its absence during periods of strong growth suggests the influence of regulatory and structural factors. The results confirm that calendar anomalies in ESG indices are weaker and less predictable than in traditional benchmarks, highlighting the importance of integrating seasonality analysis with the assessment of fundamental ESG factors. This study makes an important methodological contribution through the use of wavelet analysis, and the findings suggest that future studies of seasonality should combine statistical analysis with an assessment of fundamental ESG factors.