Halloween Effect in Developed Stock Markets: A US Perspective

Alex Plastun, Xolani Sibande (), Rangan Gupta and Mark Wohar ()

No 201914, Working Papers from University of Pretoria, Department of Economics

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.

Keywords: Calendar Anomalies; Halloween Effect; Stock Market; Efficient Market Hypothesis (search for similar items in EconPapers)
JEL-codes: C63 G12 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2019-02
New Economics Papers: this item is included in nep-fmk and nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201914

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