Halloween or January? Yet another puzzle

Brian M. Lucey () and Shelly Zhao

International Review of Financial Analysis, 2008, vol. 17, issue 5, pages 1055-1069

Abstract: Recent works suggest a potentially exploitable effect in US markets, the [`]Halloween Indicator'. This suggests that the greater part of changes in equity markets arises over the November-April period, with little change over the summer months, simultaneous with no evident changes in the risk profiles of the two six-month periods. We re-examine this and find contradictory evidence. Over the 1926-2002 period we find rather that the effect demonstrated may well be a reflection of the well-known January anomaly. Our conclusion therefore is that the jury remains out on the existence of a semi-annual seasonality.

Keywords: January; effect; Halloween; effect; USA; Market; efficiency; Seasonality (search for similar items in EconPapers)
Date: 2008

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