Should Investors Be Fearful of the Halloween Effect?

Fuller, Phillip, Geungu Yu and Denis Boudreaux. “Should Investors be Fearful of the Halloween Effect?” Southwestern Economic Review (Spring 2012) 39 (1): 31-40.

10 Pages Posted: 4 Jun 2017

See all articles by Phillip Fuller

Phillip Fuller

Jackson State University

Geungu Yu

Jackson State University

Denis Boudreaux

University of Louisiana at Lafayette - Department of Economics and Finance

Date Written: June 2, 2017

Abstract

This study is to determine if a reported seasonal anomaly referred to as the Halloween Effect provides a profit making opportunity for investors. The Halloween Effect hypothesis recommends owning stocks for the period from November through April with the other months avoided, practically making it. a Sell-in-May strategy. Studies by Bouman and Jacobsen (2002), Witte (2010), and Swargerman and Novakovic (2010) supported existence of the Halloween Effect. However, this study indicates that stock markets in the United States do not allow exploitable opportunities related to the Halloween Effect, so the stock markets are efficient, dismissing the alleged seasonal anomaly

Keywords: Halloween effect, Sell in MAY, summer, efficient market

JEL Classification: G!2

Suggested Citation

Fuller, Phillip and Yu, Geungu and Boudreaux, Denis, Should Investors Be Fearful of the Halloween Effect? (June 2, 2017). Fuller, Phillip, Geungu Yu and Denis Boudreaux. “Should Investors be Fearful of the Halloween Effect?” Southwestern Economic Review (Spring 2012) 39 (1): 31-40., Available at SSRN: https://ssrn.com/abstract=2979532

Phillip Fuller (Contact Author)

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Geungu Yu

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Denis Boudreaux

University of Louisiana at Lafayette - Department of Economics and Finance

Lafayette, LA 70504
United States
337-482-6670 (Phone)
337-482-6675 (Fax)

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