LONDON, Sept 28 (Reuters) - Investors following the stock market maxim "Sell in May and go away" will be ruing that decision this year, after emerging market, Japanese and euro zone equities emerged as the biggest winners in the third quarter.

U.S. equities did less well but were still firmly into gains.

There are signs that the coming quarters may not be as robust, but for the third, the prospect of central banks keeping the stimulus taps open for longer following Britain's shock decision in June to leave the European Union boosted investors' risk appetite and demand for higher-yielding assets like stocks.

The British pound extended its Brexit-driven losses against the dollar, falling more than 3 percent.

Brent crude oil was the worst performing asset, down more than 7 percent and giving back some of the second quarter's 30 percent gains. This caused commodities in general to fall almost 5 percent.

A Reuters graphic -- http://reut.rs/2doKMRd -- tracking 23 markets across all geographical regions and asset classes shows the divergence between stocks, which were the best performers, and sterling and commodities, which were the worst.

Japanese and emerging market equities added just under 10 percent in the third quarter , in dollar terms, and euro zone equities rose just under 6 percent.

U.S. stocks were up 3 percent

Investors drew comfort from the perception that markets continue to have the implicit - and increasingly explicit - backing of the world's major central banks.

The Bank of England cut interest rates to a new record low and expanded its dormant quantitative easing bond buying aerogramme in response to the Brexit vote. The Federal Reserve held off U.S. raising rates, the Bank of Japan unveiled new easy policy plans and expectations remained high that the European Central Bank would ease policy further.

Searching for Yield

Sterling fell to its lowest in over 30 years against the dollar shortly after the Brexit vote. It staged a mini revival in August, but this week fell back below $1.30 within sight of the July low just under $1.28.

The fall in stock market volatility paved the way for higher equity prices. Bond market volatility was also anchored for most of the three months to September, although bonds struggled to replicate anything like their performance in the preceding quarter.

"The third quarter was remarkably stable, which felt a little unnatural. You can't expect that to continue," said Lukas Daalder, chief investment officer at Robeco Investment Solutions, which has 267 billion euros ($299.09 billion)of assets under management.

High yield bonds also performed well, up almost 5 percent over the quarter, as the increasingly difficult 'hunt for yield' forced investors into the less liquid and riskier areas of the investment universe.

The fourth quarter could be a lot more volatile thanks to a deteriorating global economic environment, sluggish corporate earnings and rising political uncertainty around the U.S. presidential election in November.

Underlining that growing sense of unease and caution, HSBC's asset allocation team earlier this month put 17 percent of its portfolio into cash, a high number in its own right but especially high considering it was previously zero.

And according to Bank of America Merrill Lynch, investors have poured $158 billion into bond funds this year and pulled $138 billion out of equity funds, a sizeable redemption entirely down to the $143 billion withdrawn from developed market stock funds.

That said, if markets lurch too low too quickly for whatever reason, investors will no doubt be hoping that the familiar cavalry rides to their rescue once again.

"Central banks seem to be losing credibility, but everyone still looks to the central banks. And ultimately, you should never underestimate the power of the central banks, because in the end they can buy everything," said Robeco's Daalder. ($1 = 0.8927 euros)

(Reporting by Jamie McGeever; Graphic by Vikram Subhedar; Editing by Jeremy Gaunt)