The Halloween effect in European sectors

Tiago Carrazedo, José Dias Curto and Luís Oliveira

Research in International Business and Finance, 2016, vol. 37, issue C, 489-500

Abstract: We present economically and statistically empirical evidence that the Halloween effect is significant. A trading strategy based on this anomaly works persistently and outperforms the buy and hold strategy in 8 out of 10 indices in our sample.

Keywords: Halloween effect; Market efficiency; Anomaly; Returns (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:37:y:2016:i:c:p:489-500

DOI: 10.1016/j.ribaf.2016.01.003

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