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The Halloween effect during quiet and turbulent times

Author

Listed:
  • 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.

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:41539
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    References listed on IDEAS

    as
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    Cited by:

    1. 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.
    2. 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.
    3. 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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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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