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Is Halloween Effect a New Puzzle? Evidence from Price Gap

Author

Listed:
  • Haibin Xie

    (School of Banking and Finance, University of International Business and Economics, Huixin East Road 10, Chaoyang District, Beijing 100029, CHINA)

  • Qilin Qin

    (School of Banking and Finance, University of International Business and Economics, Huixin East Road 10, Chaoyang District, Beijing 100029, CHINA)

  • Shouyang Wang

    (Chinese Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Zhongguancun East Road 55, Haidian District, Beijing 100190, CHINA)

Abstract

The Halloween effect presents a new puzzle to the efficient market hypothesis. Different explanations have been proposed, however few relate the Halloween effect to ¡®news¡¯. This paper, using the price gap as a proxy of news, investigates for the first time the relationship between news and Halloween effect. Empirical studies performed on a variety of stock index across different countries show that Halloween effect is highly related to price gap: Halloween effect disappears or decreases if price gap is controlled. These findings are interesting and important as they indicate that the Halloween effect, to some extent, is not a new puzzle but actually the efficient market in disguise.

Suggested Citation

  • Haibin Xie & Qilin Qin & Shouyang Wang, 2016. "Is Halloween Effect a New Puzzle? Evidence from Price Gap," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 19-31, November.
    • Handle: RePEc:bap:journl:160402
    Note: This paper is supported by National Natural Science Foundation of China (No.71401033) and the Fundamental Research Funds for the Central Universities in UIBE (15YQ08).
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Halloween effect; Efficient market; Price gap; News; Puzzle;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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