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Halloween Effect in Developed Stock Markets: A US Perspective

Author

Listed:
  • Alex Plastun

    () (Faculty of Economics and Management, Sumy State University, Sumy, Ukraine)

  • Xolani Sibande

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Mark E. Wohar

    () (College of Business Administration, University of Nebraska at Omaha, 6708 Pine Street, Omaha, NE 68182, USA and School of Business and Economics, Loughborough University, Leicestershire, LE11 3TU, UK)

Abstract

In this paper, we conduct a comprehensive investigation of the Halloween effect evolution in the US stock market over its entire history. We employ various statistical techniques (average analysis, Student’s t-test, ANOVA, and the Mann-Whitney test) and the trading simulation approach to analyse the evolution of the Halloween effect. The results suggest that in the US stock market the Halloween effect became more persistent since the middle of the 20th century. Despite the decline in its prevalence since that time, nowadays it is still present in the US stock market and provides opportunities to build a trading strategy which can beat the market. These results are well in line with other developed stock markets. Therefore, in the main, our results are inconsistent with the Efficient Market Hypothesis.

Suggested Citation

  • 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.
  • Handle: RePEc:pre:wpaper:201914
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Calendar Anomalies; Halloween Effect; Stock Market; Efficient Market Hypothesis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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