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The Halloween effect during quiet and turbulent times

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  • Dumitriu, Ramona
  • Stefanescu, Razvan
  • Nistor, Costel

Abstract

The Halloween Effect is one of the main calendar anomalies used to challenge the Efficient Market Hypothesis. It consists in significant differences between the stock returns from two distinct periods of a year: November - April and October - May. In the last decades empirical researches revealed the decline of some important calendar anomalies from the stock markets around the world. Sometimes, such changes were caused by the passing from quiet to turbulent stages of the financial markets. In this paper we investigate the Halloween Effect presence on the stock markets from a group of 28 countries for a period of time between January 2000 and December 2011. We find that geographical position has a major influence on the Halloween Effect intensity. We also find some differences between the emerging markets and the advanced financial markets. We analyze the Halloween Effect for two periods of time: the first, from January 2000 to December 2006, corresponding to a relative quiet evolution and the second, from January 2007 to December 2011, corresponding to a turbulent evolution. The results reveal, for many stock markets, major changes between the first period of time and the second one.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41539.

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Date of creation: 19 May 2012
Date of revision: 25 Sep 2012
Handle: RePEc:pra:mprapa:41539

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Keywords: Calendar Anomalies; Halloween Effect; Stock Markets;

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References

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  1. Wessel Marquering & Johan Nisser & Toni Valla, 2006. "Disappearing anomalies: a dynamic analysis of the persistence of anomalies," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(4), pages 291-302.
  2. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(1), pages 83-106, February.
  3. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, American Economic Association, vol. 93(1), pages 324-343, March.
  4. David Hirshleifer & TYLER G. SHUMWAY, 2004. "Good Day Sunshine: Stock Returns and the Weather," Finance, EconWPA 0412004, EconWPA.
  5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  6. Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer, Springer, vol. 10(4), pages 319-334, December.
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Cited by:
  1. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Prolonged holiday effects on Romanian capital market before and after the adhesion to EU," MPRA Paper 52770, University Library of Munich, Germany, revised Jan 2013.
  2. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.

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