The Validity of the Halloween Effect in the Istanbul Stock Exchange

Veli Yilanci

Research Journal of Politics, Economics and Management, 2013, vol. 1, issue 1, 21-30

Abstract: In this study, we analyze the validity of Halloween effect in Istanbul Stock Exchange (ISE) between January 1990 - December 2010 which implies stock returns are lower during the May-October period versus the November-April period. As well as the Least Squares Method, we use Huber’s M-estimator which is a robust estimator against to outliers, and conclude that there is no Halloween effect in the ISE which shows the finding of Bouman and Jacobsen (2002) is due to disregarding outliers.

Keywords: Halloween effect; January effect; outlier; market efficiency (search for similar items in EconPapers)
JEL-codes: C22 G10 G14 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:say:journl:v:1:y:2013:i:1:p:21-30

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