Halloween or January? Yet Another Puzzle
23 Pages Posted: 7 Mar 2006
Date Written: March 2006
Recent works suggest a potentially exploitable effect in US markets, the 'Halloween Indicator'. This suggests that the greater part of changes in equity markets arises over the November-April period, with little change over the summer months, simultaneous with no evident changes in the risk profiles of the two six-month periods. We re-examine this and find contradictory evidence. Over the 1926-2002 period we find rather that the effect demonstrated may well be a reflection of the well-known January anomaly. Our conclusion therefore is that the jury remains out on the existence of a semi-annual seasonality.
Keywords: January Effect, Halloween Effect, USA, Market Efficiency, Seasonality
JEL Classification: C32, G15, F36
Suggested Citation: Suggested Citation