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The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly

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Author Info
Edwin Maberly ()
Raylene Pierce ()

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Abstract

Bouman and Jacobsen (American Economic Review 92(5), 1618–1635, 2002) examine monthly stock returns for major world stock markets and conclude that returns are significantly lower during the May–October periods versus the November–April periods in 36 of 37 markets examined. They argue that, in general, the Halloween strategy outperforms the buy and hold strategy thereby casting doubt on the validity of the efficient market paradigm. More recently, Maberly and Pierce (Econ Journal Watch 1(1), 29–46, 2004) re-examine the evidence for U.S. equity prices and conclude that Bouman and Jacobsen’s results are not robust to alternative model specifications. Extending prior research, this paper examines the robustness of the Halloween strategy to alternative model specifications for Japanese equity prices. The Halloween effect is concentrated in the period prior to the introduction of Nikkei 225 index futures in September 1986. After the internationalization of Japanese financial markets in the mid-1980s, the Halloween effect disappears. Copyright Springer Science + Business Media, Inc. 2003

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File URL: http://hdl.handle.net/10.1007/s10690-005-4240-0
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 10 (2003)
Issue (Month): 4 (December)
Pages: 319-334
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Handle: RePEc:kap:apfinm:v:10:y:2003:i:4:p:319-334

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Web page: http://springerlink.metapress.com/link.asp?id=102851

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Related research
Keywords: bull versus bear markets; efficient markets; money flows; Japanese stock market; market anomalies; trading rules;

References listed on IDEAS
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  1. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Edwin D Maberly & Raylene M Pierce, 2004. "Stock Market Efficiency Withstands another Challenge: Solving the “Sell in May/Buy after Halloween” Puzzle," Econ Journal Watch, Atlas Economic Research Foundation, vol. 1(1), pages 29-46, April. [Downloadable!]
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