One objective thing that happening in September is tax loss harvesting, which basically create a huge incentive for investor seel they stocks and investiment in loss to have tax-benefits in the end of the year. So in September, almost all large/medium investors will liquidate some position. So if you have a big incentive to liquidate stocks that are no longer doing well, the whole market will suffer.

I think that is one of the main reasons for this monthly drop every year.