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Multi-National Evidence On Calendar Patterns In Stock Returns: An Empirical Case Study On Investment Strategy And The Halloween Effect

Author

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  • Dirk Swagerman
  • Ivan Novakovic

Abstract

This research tries to find evidence for the Halloween effect by presenting an assessment of the profitability of the Sell in May, and go away investment strategy associated with this phenomenon. We present significant proof of the existence of the Halloween effect; it was observed in 29 of the 31 countries under study. There appears to be a difference in the seasonal returns between developed and emerging markets. Attention is also paid to the Halloween effect at the industry level. Here, a comparison between the Sell in May, and go away investment strategy and the buy-and-hold strategy proves the first to be superior.

Suggested Citation

  • Dirk Swagerman & Ivan Novakovic, 2010. "Multi-National Evidence On Calendar Patterns In Stock Returns: An Empirical Case Study On Investment Strategy And The Halloween Effect," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(4), pages 23-42.
    • Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:4:p:23-42
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    References listed on IDEAS

    as
    1. Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, vol. 83(5), pages 1337-1345, December.
    2. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
    3. De Santis, Giorgio & imrohoroglu, Selahattin, 1997. "Stock returns and volatility in emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 561-579, August.
    4. Solnik, Bruno, 1993. "The performance of international asset allocation strategies using conditioning information," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 33-55, June.
    5. Pedro Santa‐Clara & Rossen Valkanov, 2003. "The Presidential Puzzle: Political Cycles and the Stock Market," Journal of Finance, American Finance Association, vol. 58(5), pages 1841-1872, October.
    6. Edwin D. Maberly & Raylene M. Pierce, 2004. "Stock Market Efficiency Withstands Another Challenge: Solving the "Sell in May/Buy after Halloween" Puzzle," Econ Journal Watch, Econ Journal Watch, vol. 1(1), pages 29-46, April.
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    Cited by:

    1. Peter Arendas & Viera Malacka & Maria Schwarzova, 2018. "A Closer Look at the Halloween Effect: The Case of the Dow Jones Industrial Average," IJFS, MDPI, vol. 6(2), pages 1-12, April.

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    More about this item

    Keywords

    January Effect; Investment Decisions;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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