Central and Eastern European Share Markets and the Halloween Effect

Árendáš, Peter; Chovancová, Božena

doi:10.14254/1800-5845.2016/12-1/4

Cited by 4 publications

(5 citation statements)

References 32 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This is consistent with Dichtl and Drobetz (2014) and Degenhardt and Auer (2018), who suggest that the Sell-in-May effect may have weakened after the publication of the seminal Bouman and Jacobsen (2002) study. Zhang and Jacobsen (2013) and Arendas and Chovancova (2016) also demonstrate that the strength of seasonal anomalies changes over time. If investors have come to expect higher November returns, some of them likely will buy more equities in October.…”

Section: Resultsmentioning

confidence: 91%

“…Zhang and Jacobsen (2013) and Arendas and Chovancova (2016) also demonstrate that the strength of seasonal anomalies changes over time. If investors have come to expect higher November returns, some of them likely will buy more equities in October.…”

Section: Resultsmentioning

confidence: 91%

“…Earlier work by Lean (2011) found the presence of the Halloween effect between 1991 and 2008 in Malaysia and Singapore using an OLS model, and in China, India, and Japan when employing a conditional variance model. In a study of 12 Central and Eastern European share markets, Arendas and Chovancova (2016) find a statistically significant Halloween effect in the cases of Poland and Ukraine. Like Vesela and Neubauerova (2016), the authors report a strong effect before the 2008 financial crisis but not afterward, and like Swagerman and Novakovic (2010), they find stronger Halloween effects in developed markets than in emerging ones.…”

Section: Literature Reviewmentioning

confidence: 94%

“…The Halloween effect – one of the “calendar anomalies” first noted by Wachtel (1942) – refers to the finding by some researchers that market returns are lower from May through October but higher from November through April. This has naturally led to the investment advice to “Sell in May and go away” or “Sell in May and come back after Halloween” (Arendas and Chovamcova, 2016, p. 61). As such, the terms “Halloween effect” and “Sell-in-May effect” are used interchangeably in this paper.…”

Section: Literature Reviewmentioning

confidence: 99%

See 3 more Smart Citations

The Sell-in-May effect in ESG indices

Pavlova

Whitworth

Boyrie

2022

View full text Add to dashboard Cite

PurposeThis study explores the “Sell-in-May” effect in environmental, social and governance (ESG) indices and compares the seasonal effects in ESG equity indices with conventional equity indices.Design/methodology/approachThe authors use ordinary least squares (OLS) models and M-estimation as a robustness check, as OLS estimates may be sensitive to outliers. The authors also employ bootstrap simulations to use the data efficiently and to test whether seasonal trading strategies can produce abnormal returns.FindingsThe regression results reveal that seasonal effects in USA ESG equity indices are similar to those in conventional equity indices. Higher returns are noticeable from November through April, mainly in ESG indices including small and medium capitalization stocks. When the authors extend the Sell-in-May strategy from October through April, the authors find that the seasonal effect is significant for multiple ESG indices, even after accounting for the January effect. Bootstrap simulations show that the Sell-in-May and Extended Sell-in-May strategies appear to beat a buy-and-hold strategy on a risk-adjusted basis and that this result is stronger in medium and small capitalization ESG indices.Originality/valueAlthough previous research has considered the effectiveness of seasonal equity trading strategies and the general performance of ESG stocks, this is the first study to specifically examine the “Sell in May” effect in ESG indices. The authors also consider an “Extended” Sell-in-May strategy where stocks are purchased one month earlier and show that the strategy produces higher returns.

show abstract

Section: Resultsmentioning

confidence: 91%

Section: Resultsmentioning

confidence: 91%

Section: Literature Reviewmentioning

confidence: 94%

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

The Sell-in-May effect in ESG indices

Pavlova

Whitworth

Boyrie

2022

View full text Add to dashboard Cite

show abstract

“…Guo et al (2014) discovered a significant Halloween effect on the Chinese stock market over the 1997-2013 time period. Arendas and Chovancova (2016) concluded that the Halloween effect also impacts the stock markets in the Central and Eastern Europe (CEE) region. According to them, the Halloween effect can be found on stock markets of the majority of the 12 investigated CEE countries; however, it was statistically significant only in the case of Poland and Ukraine.…”

Section: Introductionmentioning

confidence: 99%

A Closer Look at the Halloween Effect: The Case of the Dow Jones Industrial Average

Árendáš

Malacka

Schwarzova

2018

IJFS

Self Cite

View full text Add to dashboard Cite

The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November-April) than over the summer half of the year (May-October). The vast majority of studies that investigated the Halloween effect over the recent decades focused only on stock indices. This means that they evaluated whether a stock index follows the Halloween effect pattern, but they omitted digging a little deeper and analyze the Halloween effect on the individual stocks level. This paper investigates to what extent the blue-chips stocks included in the Dow Jones Industrial Average are affected by the Halloween effect and whether the Halloween effect is widespread or the behavior of the whole index is driven by only a handful of stocks that are strongly affected by the Halloween effect. The results show that, although the strength of the Halloween effect varies quite rapidly from stock to stock, the vast majority of analyzed stocks experienced a notably higher average winter period than summer period returns over the 1980-2017 period. Moreover, in 18 out of 35 cases, the Halloween effect was statistically significant.

show abstract

Influence of German Stock Market on Stock Markets of V4 Countries

Árendáš¹,

Chovancová²,

Pavelka³

2020

Politicka ekonomie

View full text Add to dashboard Cite

Influence of German Stock Market on Stock Markets of V4 Countries Due to progressing globalisation and deepening integration of global financial markets, the topic of relations between individual markets has got into the centre of attention of many economists. Especially on the stock markets, we can observe a tendency of the more developed markets to affect developments on the less developed markets. This is also valid for stock markets of the Central and Eastern European (CEE) countries, the V4 countries included. In the case of returns and volatilities of the V4 stock markets, it is possible to expect a strong influence of the German stock market. We follow this influence using the Granger causality. Our analysis shows that in the period 1999-2018, the German DAX stock index was Granger-causing the development of the Czech (PX), Hungarian (BUX) and Polish (WIG 20) stock indices, while this relation was not confirmed for DAX and the Slovak stock index SAX. However, the analysis of two sub-periods (1999-2007 and 2010-2018) shows slightly different results.

show abstract

Central and Eastern European Share Markets and the Halloween Effect

Cited by 4 publications

References 32 publications

The Sell-in-May effect in ESG indices

The Sell-in-May effect in ESG indices

A Closer Look at the Halloween Effect: The Case of the Dow Jones Industrial Average

Influence of German Stock Market on Stock Markets of V4 Countries

Contact Info

Product

Resources

About