Buy in May and Sell on St. Leger Day? The Reversal Halloween Effect in QMJ

2019 ◽  
Author(s):  
Xuquan Li ◽  
Ruozhou Liu ◽  
Zili Zhang
Keyword(s):  
Halloween Effect

Eastern Halloween Effect: A Stochastic Dominance Approach

2020 ◽  
Author(s):  
David Chui ◽  
Wui Wing Cheng ◽  
Sheung Chi Chow ◽  
Ya LI
Keyword(s):  
Stochastic Dominance ◽  
Halloween Effect

scholarly journals The Halloween effect on the agricultural commodities markets

2017 ◽  
Vol 63 (No. 10) ◽  
pp. 441-448 ◽  
Author(s):  
Arendas Peter
Keyword(s):  
Financial Markets ◽  
Asset Returns ◽  
Winter Period ◽  
Agricultural Commodities ◽  
Summer Period ◽  
Price Series ◽  
Time Period ◽  
Halloween Effect ◽  
Commodities Markets

The financial markets are impacted by various seasonal anomalies. One of the best known of them is the Halloween effect. The Halloween effect means that the summer period (May–October) asset returns are lower compared to the winter period (November–April) asset returns. In the paper, price series of 20 major agricultural commodities over the 1980–2015-time period are tested for the presence of the Halloween effect. The data show that 15 out of the 20 commodities recorded a higher average winter period than summer period returns and in 10 cases, the differences are statistically significant. The data also show that out of the 5 commodities with higher summer period returns, only in the case of poultry the differences are statistically significant.  

The Halloween Effect in U.S. Sectors

2009 ◽  
Vol 44 (3) ◽  
pp. 437-459 ◽  
Author(s):  
Ben Jacobsen ◽  
Nuttawat Visaltanachoti
Keyword(s):  
Halloween Effect

scholarly journals The Halloween effect in European sectors

2016 ◽  
Vol 37 ◽  
pp. 489-500 ◽  
Author(s):  
Tiago Carrazedo ◽  
José Dias Curto ◽  
Luís Oliveira
Keyword(s):  
Halloween Effect

Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effect

2015 ◽  
Vol 41 (7) ◽  
pp. 642-657 ◽  
Author(s):  
K. Stephen Haggard ◽  
Jeffrey Scott Jones ◽  
H Douglas Witte
Keyword(s):  
Design Methodology ◽  
Statistical Test ◽  
Return Distribution ◽  
Partial Explanation ◽  
Bootstrap Test ◽  
Content Type ◽  
Black Swans ◽  
International Data ◽  
Over Time ◽  
Halloween Effect

Purpose – The purpose of this paper is to determine the extent to which outliers have persisted in augmenting the Halloween effect over time and to offer an econometric test of seasonality in return skewness that might provide a partial explanation for the Halloween effect. Design/methodology/approach – The authors split the Morgan Stanley Capital International data for 37 countries into two subperiods and, using median regression and influence vectors, examine these periods for a possible change in the interplay between outliers and the Halloween effect. The authors perform a statistical assessment of whether outliers are a significant contributor to the overall Halloween effect using a bootstrap test of seasonal differences in return skewness. Findings – Large returns (positive and negative) persist in being generally favorable to the Halloween effect in most countries. The authors find seasonality in return skewness to be statistically significant in many countries. Returns over the May through October timeframe are negatively skewed relative to returns over the November through April period. Originality/value – This paper offers the first statistical test of seasonality in return skewness in the context of the Halloween effect. The authors show the Halloween effect to be a more complex phenomenon than the simple seasonality in mean returns documented in prior research.

Trick or treat? The Halloween effect in stock markets revisited

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Gylfi Magnusson
Keyword(s):  
Seasonal Variation ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Markets ◽  
Seasonal Affective Disorder ◽  
The Other ◽  
Seasonal Effect ◽  
Content Type ◽  
Economic Significance ◽  
Halloween Effect

PurposeThe subject of this paper is seasonal variation in the return on stocks. The phenomenon we analyze here is known as the “Halloween effect” or the trading strategy “sell in May and go away.” The authors test the hypothesis that stock markets tend to return considerably less in the six months beginning in May than in the other half of the year. This effect has shown persistency over time and is seemingly large enough to be a candidate for economic significance.Design/methodology/approachThe authors analyze monthly data from 13 countries for the period 1958–2019, using the Kruskal–Wallis test, t-test and a boot-strap based estimator. In addition, we look a sub-periods for a larger group of countries and include data on both stock returns and interest rates.FindingsThe authors find a strong seasonal effect in a large majority of the markets, with the period from November to April seeing higher returns than the other six months of the year. This result also holds for a larger sample of countries based on data from a shorter period. The effect is found to be economically significant in most countries in the sample. The authors examine one potential explanation for seasonal variation in stock returns, i.e. seasonal affective disorder (SAD). The authors find some, albeit weak, support for this hypothesis.Originality/valueThis paper uses a rich dataset that has not been used for this purpose before and robust tests of statistical and economic significance to shed light on an important aspect of global financial markets.

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