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The Halloween effect on the agricultural commodities markets

Author

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  • Peter ARENDAS

    (Department of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, Bratislava, Slovak Republic)

Abstract

The financial markets are impacted by various seasonal anomalies. One of the best known of them is the Halloween effect. The Halloween effect means that the summer period (May-October) asset returns are lower compared to the winter period (November-April) asset returns. In the paper, price series of 20 major agricultural commodities over the 1980-2015-time period are tested for the presence of the Halloween effect. The data show that 15 out of the 20 commodities recorded a higher average winter period than summer period returns and in 10 cases, the differences are statistically significant. The data also show that out of the 5 commodities with higher summer period returns, only in the case of poultry the differences are statistically significant.

Suggested Citation

  • Peter ARENDAS, 2017. "The Halloween effect on the agricultural commodities markets," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 63(10), pages 441-448.
    • Handle: RePEc:caa:jnlage:v:63:y:2017:i:10:id:45-2016-agricecon
    DOI: 10.17221/45/2016-AGRICECON
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    References listed on IDEAS

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    Cited by:

    1. Monika Krawiec & Anna Górska, 2021. "Are soft commodities markets affected by the Halloween effect?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(12), pages 491-499.
    2. Peter Árendáš & Jana Kotlebová, 2023. "Agricultural commodity markets and the Turn of the month effect," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(3), pages 101-108.
    3. Algieri, Bernardina & Lawuobahsumo, Kokulo & Leccadito, Arturo, 2024. "Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets," LIDAM Discussion Papers LFIN 2024001, Université catholique de Louvain, Louvain Finance (LFIN).

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