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Is the Halloween Effect Present on the Markets for Agricultural Commodities?

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  • Burakov, D.
  • Freidin, M.

Abstract

Seasonal anomalies play an important role in the global economic system. One of the most frequently empirically observed anomalies is the Halloween effect. Halloween effect describes the anomaly on the financial markets, which is that the returns of different assets in the summer period are generally lower than the returns in the winter period. This study tests the Halloween effect on the agricultural commodities’ markets over the period from 1980 to 2016. The sample includes price series of 27 major agricultural commodities. The data show that 20 out of the 27 commodities recorded a higher average winter period than summer period returns and in 15 cases, the differences are statistically significant. The data also show that out of the 7 commodities with higher summer period returns (the “reverse Halloween effect”) only in cases of poultry and tea the differences are of statistically significant nature.

Suggested Citation

  • Burakov, D. & Freidin, M., 2018. "Is the Halloween Effect Present on the Markets for Agricultural Commodities?," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 10(2).
    • Handle: RePEc:ags:aolpei:276110
    DOI: 10.22004/ag.econ.276110
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    References listed on IDEAS

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    Cited by:

    1. Dmitry Burakov, 2018. "Do discounts mitigate numerological superstitions? Evidence from the Russian real estate market," Judgment and Decision Making, Society for Judgment and Decision Making, vol. 13(5), pages 467-470, September.
    2. Chhabra, Damini & Gupta, Mohit, 2022. "Calendar anomalies in commodity markets for natural resources: Evidence from India," Resources Policy, Elsevier, vol. 79(C).
    3. Peter Árendáš & Jana Kotlebová, 2023. "Agricultural commodity markets and the Turn of the month effect," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(3), pages 101-108.
    4. Peter Arendas & Jana Kotlebova, 2019. "The Turn of the Month Effect on CEE Stock Markets," IJFS, MDPI, vol. 7(4), pages 1-19, October.
    5. repec:cup:judgdm:v:13:y:2018:i:5:p:467-470 is not listed on IDEAS
    6. Chhabra, Damini & Gupta, Mohit, 2020. "Market efficiency and calendar anomalies in commodity futures markets: a review," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 33(2), December.

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