Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2012): The Halloween effect during quiet and turbulent times. Published in: The 18th International Conference "The Knowledge-Based Organization" - Conference Proceedings 2 , Vol. 2, (8. June 2012): pp. 91-96.
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The Halloween Effect is one of the main calendar anomalies used to challenge the Efficient Market Hypothesis. It consists in significant differences between the stock returns from two distinct periods of a year: November - April and October - May. In the last decades empirical researches revealed the decline of some important calendar anomalies from the stock markets around the world. Sometimes, such changes were caused by the passing from quiet to turbulent stages of the financial markets. In this paper we investigate the Halloween Effect presence on the stock markets from a group of 28 countries for a period of time between January 2000 and December 2011. We find that geographical position has a major influence on the Halloween Effect intensity. We also find some differences between the emerging markets and the advanced financial markets. We analyze the Halloween Effect for two periods of time: the first, from January 2000 to December 2006, corresponding to a relative quiet evolution and the second, from January 2007 to December 2011, corresponding to a turbulent evolution. The results reveal, for many stock markets, major changes between the first period of time and the second one.
|Item Type:||MPRA Paper|
|Original Title:||The Halloween effect during quiet and turbulent times|
|English Title:||The Halloween effect during quiet and turbulent times|
|Keywords:||Calendar Anomalies, Halloween Effect, Stock Markets|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
|Depositing User:||Ramona Dumitriu|
|Date Deposited:||25. Sep 2012 13:31|
|Last Modified:||12. Feb 2013 04:48|
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