The Halloween effect on the agricultural commodities markets

Peter Arendas
Additional contact information
Peter Arendas: Department of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, Bratislava, Slovak Republic

Agricultural Economics, 2017, vol. 63, issue 10, 441-448

Abstract: 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.

Keywords: abnormal returns; agriculture; commodity; investing; seasonal anomaly (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://agricecon.agriculturejournals.cz/doi/10.17221/45/2016-AGRICECON.html (text/html)
http://agricecon.agriculturejournals.cz/doi/10.17221/45/2016-AGRICECON.pdf (application/pdf)
free of charge

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:caa:jnlage:v:63:y:2017:i:10:id:45-2016-agricecon

DOI: 10.17221/45/2016-AGRICECON

Access Statistics for this article

Agricultural Economics is currently edited by Ing. Zdeňka Náglová, Ph.D.

More articles in Agricultural Economics from Czech Academy of Agricultural Sciences
Bibliographic data for series maintained by Ivo Andrle ().