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Eastern Halloween effect: A stochastic dominance approach

Author

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  • Chui, David
  • Wing Cheng, Wui
  • Chi Chow, Sheung
  • LI, Ya

Abstract

The Eastern market wisdom of “May is poor, June is bleak, and July will turn around” unveils an international stock markets dynamic that lower returns in May followed by even worse return in June but rebounding back to an upward trend in July. This wisdom is termed as “Eastern Halloween” effect in this paper which has some similarities with the traditional Halloween Effect. However, the traditional risk approaches fail to explain this Eastern Halloween effect satisfactorily. We apply stochastic dominance method to examine the Eastern Halloween effect and provide solid evidence of existence of Eastern Halloween effect.

Suggested Citation

  • Chui, David & Wing Cheng, Wui & Chi Chow, Sheung & LI, Ya, 2020. "Eastern Halloween effect: A stochastic dominance approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:intfin:v:68:y:2020:i:c:s1042443120301256
    DOI: 10.1016/j.intfin.2020.101241
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    More about this item

    Keywords

    Halloween effect; Sell in May and go away; Stochastic dominance;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing

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