The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly
AbstractBouman 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
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 10 (2003)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102851
bull versus bear markets; efficient markets; money flows; Japanese stock market; market anomalies; trading rules;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002.
"Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows,"
Yale School of Management Working Papers
ysm24, Yale School of Management.
- 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.
- Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management, revised 01 Apr 2008.
- 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, Econ Journal Watch, vol. 1(1), pages 29-46, April.
- 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.
- Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "The Halloween effect during quiet and turbulent times," MPRA Paper 41539, University Library of Munich, Germany, revised 25 Sep 2012.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.