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The Validity of the Halloween Effect in the Istanbul Stock Exchange

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  • Veli Yilanci

    ()
    (Istanbul University)

Abstract

In this study, we analyze the validity of Halloween effect in Istanbul Stock Exchange (ISE) between January 1990 - December 2010 which implies stock returns are lower during the May-October period versus the November-April period. As well as the Least Squares Method, we use Huber’s M-estimator which is a robust estimator against to outliers, and conclude that there is no Halloween effect in the ISE which shows the finding of Bouman and Jacobsen (2002) is due to disregarding outliers.

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Bibliographic Info

Article provided by Sakarya University, Faculty of Economics and Administrative Sciences in its journal Research Journal of Politics, Economics and Management.

Volume (Year): 1 (2013)
Issue (Month): 1 (January)
Pages: 21-30

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Handle: RePEc:say:journl:v:1:y:2013:i:1:p:21-30

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Keywords: Halloween effect; January effect; outlier; market efficiency;

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