IDEAS home Printed from https://ideas.repec.org/a/kap/apfinm/v10y2003i4p319-334.html
   My bibliography  Save this article

The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly

Author

Listed:
  • Edwin Maberly
  • Raylene Pierce

Abstract

Bouman 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

Suggested Citation

  • Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 319-334, December.
  • Handle: RePEc:kap:apfinm:v:10:y:2003:i:4:p:319-334
    DOI: 10.1007/s10690-005-4240-0
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10690-005-4240-0
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1007/s10690-005-4240-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Dragos Stefan Oprea, 2014. "The Halloween Effect Evidence from Romania," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(7), pages 463-471, July.
    3. Ramona DUMITRIU & Razvan STEFANESCU, 2014. "Gone Fishin’ Effects In Returns," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 254-261.
    4. Zhang, Cherry Y. & Jacobsen, Ben, 2021. "The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time," Journal of International Money and Finance, Elsevier, vol. 110(C).
    5. Lee, King Fuei, 2021. "An Anomaly within an Anomaly: The Halloween Effect in the Long-term Reversal Anomaly," MPRA Paper 110859, University Library of Munich, Germany.
    6. Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019. "Halloween Effect in Developed Stock Markets: A US Perspective," Working Papers 201914, University of Pretoria, Department of Economics.
    7. 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.
    8. Chui, David & Wing Cheng, Wui & Chi Chow, Sheung & LI, Ya, 2020. "Eastern Halloween effect: A stochastic dominance approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
    9. 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.
    10. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020. "Halloween Effect in developed stock markets: A historical perspective," International Economics, Elsevier, vol. 161(C), pages 130-138.
    11. Degenhardt, Thomas & Auer, Benjamin R., 2018. "The “Sell in May” effect: A review and new empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 169-205.
    12. Mostafa Saidur Rahim Khan & Naheed Rabbani, 2019. "Market Conditions and Calendar Anomalies in Japanese Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 187-209, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jördis Hengelbrock & Erik Theissen & Christian Westheide, 2013. "Market Response to Investor Sentiment," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 901-917, September.
    2. Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.
    3. David Hirshleifer & Danling Jiang, 2010. "A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3401-3436.
    4. Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
    5. Auer, Benjamin R. & Rottmann, Horst, 2014. "Is there a Friday the 13th effect in emerging Asian stock markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 17-26.
    6. Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2017. "Divergence of sentiment and stock market trading," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 130-141.
    7. Wagner, Moritz & Lee, John Byong-Tek & Margaritis, Dimitris, 2022. "Mutual fund flows and seasonalities in stock returns," Journal of Banking & Finance, Elsevier, vol. 144(C).
    8. Balázs Zélity, 2024. "Seasonality and consumer confidence," Bulletin of Economic Research, Wiley Blackwell, vol. 76(3), pages 813-821, July.
    9. Nicholas Apergis & Alexandros Gabrielsen & Lee Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
    10. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
    11. William N. Goetzmann & Ning Zhu, 2005. "Rain or Shine: Where is the Weather Effect?," European Financial Management, European Financial Management Association, vol. 11(5), pages 559-578, November.
    12. Brown, Stephen J. & Goetzmann, William N. & Hiraki, Takato & Shiraishi, Noriyoshi, 2003. "An analysis of the relative performance of Japanese and foreign money management," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 393-412, September.
    13. Lee, King Fuei, 2021. "An Anomaly within an Anomaly: The Halloween Effect in the Long-term Reversal Anomaly," MPRA Paper 110859, University Library of Munich, Germany.
    14. Kaustia, Markku & Rantapuska, Elias, 2013. "Does mood affect trading behavior?," SAFE Working Paper Series 4, Leibniz Institute for Financial Research SAFE.
    15. Massimo Massa & William Goetzmann, 2003. "Disposition Matters: Volume, Volatility and Price Impact of a Behavioral Bias," Yale School of Management Working Papers ysm333, Yale School of Management, revised 01 Apr 2005.
    16. Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016. "Another January effect—Evidence from stock split announcements," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 123-138.
    17. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
    18. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross‐section of Stock Returns," Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, August.
    19. Xuejun Jin & Hongze Li & Bin Yu, 2023. "The day‐of‐the‐month effect and the performance of the dollar cost averaging strategy: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 797-815, April.
    20. Richards, Daniel W. & Willows, Gizelle D., 2018. "Who trades profusely? The characteristics of individual investors who trade frequently," Global Finance Journal, Elsevier, vol. 35(C), pages 1-11.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:10:y:2003:i:4:p:319-334. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.