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Is Halloween Effect a New Puzzle? Evidence from Price Gap

Haibin Xie (), Qilin Qin and Shouyang Wang ()
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Haibin Xie: School of Banking and Finance, University of International Business and Economics, Huixin East Road 10, Chaoyang District, Beijing 100029, CHINA
Qilin Qin: School of Banking and Finance, University of International Business and Economics, Huixin East Road 10, Chaoyang District, Beijing 100029, CHINA
Shouyang Wang: Chinese Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Zhongguancun East Road 55, Haidian District, Beijing 100190, CHINA

Review of Economics & Finance, 2016, vol. 6, 19-31

Abstract: The Halloween effect presents a new puzzle to the efficient market hypothesis. Different explanations have been proposed, however few relate the Halloween effect to ¡®news¡¯. This paper, using the price gap as a proxy of news, investigates for the first time the relationship between news and Halloween effect. Empirical studies performed on a variety of stock index across different countries show that Halloween effect is highly related to price gap: Halloween effect disappears or decreases if price gap is controlled. These findings are interesting and important as they indicate that the Halloween effect, to some extent, is not a new puzzle but actually the efficient market in disguise.

Keywords: Halloween effect; Efficient market; Price gap; News; Puzzle (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G17 (search for similar items in EconPapers)
Date: 2016
Note: This paper is supported by National Natural Science Foundation of China (No.71401033) and the Fundamental Research Funds for the Central Universities in UIBE (15YQ08).
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