Halloween Effect in Developed Stock Markets: A US Perspective

University of Pretoria, Department of Economics Working Paper Series, No. 2019-14

49 Pages Posted: 30 Apr 2019

See all articles by Oleksiy Plastun

Oleksiy Plastun

Sumy State University

Xolani Sibande

University of Pretoria - Department of Economics

Rangan Gupta

University of Pretoria - Department of Economics

Mark E. Wohar

University of Nebraska at Omaha

Date Written: February 20, 2019

Abstract

In this paper, we conduct a comprehensive investigation of the Halloween effect evolution in the US stock market over its entire history. We employ various statistical techniques (average analysis, Student’s t-test, ANOVA, and the Mann-Whitney test) and the trading simulation approach to analyse the evolution of the Halloween effect. The results suggest that in the US stock market the Halloween effect became more persistent since the middle of the 20th century. Despite the decline in its prevalence since that time, nowadays it is still present in the US stock market and provides opportunities to build a trading strategy which can beat the market. These results are well in line with other developed stock markets. Therefore, in the main, our results are inconsistent with the Efficient Market Hypothesis.

Keywords: Calendar Anomalies, Halloween Effect, Stock Market, Efficient Market Hypothesis

JEL Classification: G12, C63

Suggested Citation

Plastun, Oleksiy and Sibande, Xolani and Gupta, Rangan and Wohar, Mark E., Halloween Effect in Developed Stock Markets: A US Perspective (February 20, 2019). University of Pretoria, Department of Economics Working Paper Series, No. 2019-14. Available at SSRN: https://ssrn.com/abstract=3362154 or http://dx.doi.org/10.2139/ssrn.3362154

Oleksiy Plastun (Contact Author)

Sumy State University ( email )

Rymskyi-Korsakov str., 2
Sumy, 40000
Ukraine

Xolani Sibande

University of Pretoria - Department of Economics ( email )

South Africa

Rangan Gupta

University of Pretoria - Department of Economics ( email )

Lynnwood Road
Hillcrest
Pretoria, 0002
South Africa

Mark E. Wohar

University of Nebraska at Omaha ( email )

Department of Economics
6708 Pine Street MH 332S
Omaha, NE 68182
United States
402-554-3712 (Phone)
402-554-2853 (Fax)

HOME PAGE: http://cba.unomaha.edu/faculty/mwohar/WEB/homepage.html

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