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Eastern Halloween effect: A stochastic dominance approach

David Chui, Wui Wing Cheng, Nikolai Sheung-Chi Chow and Ya Li

Journal of International Financial Markets, Institutions and Money, 2020, vol. 68, issue C

Abstract: The Eastern market wisdom of “May is poor, June is bleak, and July will turn around” unveils an international stock markets dynamic that lower returns in May followed by even worse return in June but rebounding back to an upward trend in July. This wisdom is termed as “Eastern Halloween” effect in this paper which has some similarities with the traditional Halloween Effect. However, the traditional risk approaches fail to explain this Eastern Halloween effect satisfactorily. We apply stochastic dominance method to examine the Eastern Halloween effect and provide solid evidence of existence of Eastern Halloween effect.

Keywords: Halloween effect; Sell in May and go away; Stochastic dominance (search for similar items in EconPapers)
JEL-codes: G14 G31 G32 M41 M42 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.intfin.2020.101241

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Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

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