The October Effect, also known as the Mark Twain Effect, is an anecdotally-founded fear that markets are vulnerable to catastrophe in the month of October.

Several Octobers have appeared to be the origin of problems in the market: in 1929 at the onset of the Great Depression, the 1987 crash, and in 2008 at the start of the Great Recession.

Perhaps superstitiously, many people expect October to be the worse month of the year for the market, supposing that if something bad were going to happen, it would happen in October. Statistically, there isn't much support for this idea.

As it turns out, September has historically been the worst month for the market. This is an example of how investors sometimes allow emotions to paint their perception of market conditions, using social cues and anecdotes, as well as relying on historical performance to predict future results, which we know is not reliable.

Is There Such a Thing as the “January Effect?”
What is the Black Swan Theory?