 Halloween Effect in developed stock markets: A historical perspectiveAlex Plastun, Xolani Sibande (), Rangan Gupta and Mark Wohar () International Economics, 2020, vol. 161, issue C, 130-138 Abstract: In this paper, we conduct a comprehensive investigation of the Halloween effect evolution in the US stock market over its entire history as well as in the other developed markets (UK, French, Canadian, German and Japanese). 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 and other developed markets, the Halloween effect only became detectable in the middle of the 20th century. Recently it is still present in the US stock market and most of the other developed markets, which provides opportunities to build a trading strategy which can beat the market. Therefore, it can be concluded that, in the main, the Halloween effect in the US market and other developed markets is consistent with the Adaptive Market Hypothesis. Keywords: Calendar anomalies; Halloween effect; Stock market; Efficient market hypothesis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:161:y:2020:i:c:p:130-138 DOI: 10.1016/j.inteco.2019.11.009 Access Statistics for this article International Economics is currently edited by Valerie Mignon and Marcelo Olarreaga More articles in International Economics from Elsevier |
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