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Halloween or January? Yet another puzzle

  • Lucey, Brian M
  • Zhao, Shelly

Recent works suggest a potentially exploitable effect in US markets, the 'Halloween Indicator'. This suggests that the greater part of changes in equity markets arises over the November-April period, with little change over the summer months, simultaneous with no evident changes in the risk profiles of the two six-month periods. We re-examine this and find contradictory evidence. Over the 1926-2002 period we find rather that the effect demonstrated may well be a reflection of the well-known January anomaly. Our conclusion therefore is that the jury remains out on the existence of a semi-annual seasonality.

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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 17 (2008)
Issue (Month): 5 (December)
Pages: 1055-1069

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Handle: RePEc:eee:finana:v:17:y:2008:i:5:p:1055-1069
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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