The Validity of the Halloween Effect in the Istanbul Stock Exchange
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.
Volume (Year): 1 (2013)
Issue (Month): 1 (January)
|Contact details of provider:|| Postal: |
Phone: +90.264.346 03 33
Fax: +90.264.346 03 31
Web page: http://www.siyasetekonomiyonetim.org/index.php/seyadEmail:
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:say:journl:v:1:y:2013:i:1:p:21-30. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Veli Yilanci)
If references are entirely missing, you can add them using this form.