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Halloween or January? Yet another puzzle

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Author Info

  • Lucey, Brian M
  • Zhao, Shelly

Abstract

Recent works suggest a potentially exploitable effect in US markets, the 'Halloween Indicator'. This suggests that the greater part of changes in equity markets arises over the November-April period, with little change over the summer months, simultaneous with no evident changes in the risk profiles of the two six-month periods. We re-examine this and find contradictory evidence. Over the 1926-2002 period we find rather that the effect demonstrated may well be a reflection of the well-known January anomaly. Our conclusion therefore is that the jury remains out on the existence of a semi-annual seasonality.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 17 (2008)
Issue (Month): 5 (December)
Pages: 1055-1069

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Handle: RePEc:eee:finana:v:17:y:2008:i:5:p:1055-1069

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Web page: http://www.elsevier.com/locate/inca/620166

Related research

Keywords: January effect Halloween effect USA Market efficiency Seasonality;

References

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  1. Diebold, Francis X & Kilian, Lutz, 2000. "Measuring Predictability: Theory And Macroeconomic Applications," CEPR Discussion Papers 2424, C.E.P.R. Discussion Papers.
  2. Reinganum, Marc R & Shapiro, Alan C, 1987. "Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange," The Journal of Business, University of Chicago Press, vol. 60(2), pages 281-95, April.
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  8. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
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  10. Khalid Al-Saad & Imad Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 63-71.
  11. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August.
  12. Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.
  13. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184.
  14. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
  15. Hamori, Shigeyuki, 2001. "Seasonality and stock returns: some evidence from Japan," Japan and the World Economy, Elsevier, vol. 13(4), pages 463-481, December.
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Citations

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Cited by:
  1. K. Stephen Haggard & H. Douglas Witte, 2012. "Subperiod robustness checks: testing for effect mean stationarity," Managerial Finance, Emerald Group Publishing, vol. 38(3), pages 530-542, May.
  2. Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.

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