The Halloween effect: Trick or treat?

Haggard, K. Stephen; Witte, H. Douglas

doi:10.1016/j.irfa.2010.10.001

Cited by 49 publications

(44 citation statements)

References 23 publications

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“…Probably the most prominent of these effects are the Monday effect (see French, 1980;Pettengill, 2003;Keef et al, 2009), where Mondays' returns are much lower than other days of the week, the January effect (see Gultekin and Gultekin, 1983;Keim, 1983;Yao, 2012), where returns are much higher during the month of January than any in other month, and the turn-of-the-month effect (see Ariel, 1987;Kunkel et al, 2003), where returns at the end and at the beginning of a month tend to be higher than on other days. Recent research also considers Halloween effects (see Bouman and Jacobsen, 2002;Haggard and Witte, 2010) and even calendar phases exhibiting certain climate patterns (see Lucey, 2005, 2008).…”

Section: Introductionmentioning

confidence: 99%

Is there a Friday the 13th effect in emerging Asian stock markets?

Auer

Rottmann

2014

Journal of Behavioral and Experimental Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. JEL-Code: C100, G100. Terms of use: Documents in

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Section: Introductionmentioning

confidence: 99%

Is there a Friday the 13th effect in emerging Asian stock markets?

Auer

Rottmann

2014

Journal of Behavioral and Experimental Finance

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“…Kamstra, Kramer and Levi (2003) postulated Seasonal Affective Disorder (SAD) as the main reason of Halloween anomaly, their research however was heavily criticized in Kelly, Meschke (2010), Marquering (2008, 2009). Maberly and Pierce (2004) questioned the existence of Halloween effect as caused by outliers in October 1987 and August 1998 but Haggard and Witte (2010) acquire the results using robust estimation technique and confirms significant Halloween anomaly. Jacobsen and others (2005) checked if Halloween effect is dependent on size, book to market or divided yield and conclude that it is not the case.…”

Section: Literature Reviewmentioning

confidence: 97%

“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets

Schabek

Castro

2016

DEM

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A b s t r a c t. Described in literature stock market anomaly still remains unexplained. In long time series regressions and wide geographical spread research, "Halloween effect" is significant on 19 amongst 73 markets, but also on 11 amongst 23 with long time series data. The data shows that abnormal returns could be realized also in strategies starting in October, November and December. We conclude that even with control of weather (sun hours), behavioral (sentiment index, number of IPOs) and macroeconomic (industrial production) factors, the effect persists.K e y w o r d s: seasonal anomaly; behavioral factor; Halloween indicator; January effect; sell in May. J E L Classification: G15; Q47; G10; G14.

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“…Based on research Jaisinghani (2016) found that there is strong positive support to the September effect on the stock market in India. Haggard and Witte (2010) found significant results of Halloween effect in America in the period 1954-2008. Research conducted by Oprean & Tanasescu (2014) found that stock trading conducted in the market was influenced by irrational investor behavior in Rome and Brazil.…”

Section: Introductionmentioning

confidence: 93%

Javanese lunar calendar effect (Primbon) on abnormal return

Hermin¹,

Mahadwartha²

2018

Proceedings of the 15th International Symposium on Management (INSYMA 2018)

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The purpose of this study is to examine Javanese lunar calendar (Primbon) effect to abnormal return on Indonesian Stock Market. Type of this study is conclusive descriptive using intraday trading data. The research observed and tested cultural phenomena called Primbon as a calendar effect on abnormal return. Studies of cultural event, Ramadhan effect. This research examined other issues which is a belief of traditional calendar called Primbon among Javanese in Indonesia. This study uses event study methodology to observe abnormal return of stocks recommended by Primbon that grouping into defensive stock called "rahayu" and aggressive stock called big luck (rezeki besar) on certain time in a day. Abnormal return from groups of stock recommended by Primbon only presented on Monday aggressive stocks group from 09.00 to 11.00. Thus it can be concluded that the recommendations of Primbon only partially affect the abnormal return on the Indonesia Stock Exchange.

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The Halloween effect: Trick or treat?

Cited by 49 publications

References 23 publications

Is there a Friday the 13th effect in emerging Asian stock markets?

Is there a Friday the 13th effect in emerging Asian stock markets?

“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets

Javanese lunar calendar effect (Primbon) on abnormal return

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