The Halloween Effect Anomaly: Evidence from Some Arab Countries Equity Markets
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Published
Mar 1, 2007
Abstract
This paper examines the existence of the Halloween effect for some Arab countries equity markets. The data set used in this study constitutes of daily stock prices for 9 Arab equity markets in the Middle East region. Following Bouman and Jacobsen (2002), we use regression analysis with dummy variables to test for the existence of the Halloween effect in some Arabian equity markets; which is equivalent to a simple mean test. A highly significant Halloween effect documented for 7 out of 9 Arabic equity markets in the Middle East region even after adjustments have been made for January effect.
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Keywords
Arab Countries / Evidence
References
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• Al-Saad, K., Moosa, I., 2005. Seasonality in stock returns: evidence from an emerging market. Applied Financial Economics 15, 63-71.
• Aly, H., Mehdian, S., Perry, M. J (2004), “An analysis of day-of-the-week effects in the Egyptian stock market,” International Journal of Business, Vol. 9. PP. 301-308.
• Bouman, S., Jacobsen, B (2002), “The Halloween indicator, “Sell in May and Go Away”: another puzzle,” The American Economic Review, Vol. 92. PP. 1618- 1635.
• Brown, P., Keim, D., Kleidon, A., Marsh, T (1983), “Stock return seasonalities and tax-loss selling hypothesis- analysis of the arguments and Australian evidence,” Journal of Financial Economics, Vol. 12. PP. 105- 127.
• Dahel, R (1999), “Volatility in Arab stock markets,” Paper presented at the workshop on “Arab stock markets: recent trends and performance”, Organized by the Arab Planning Institute, Kuwait, March 15-16, 1999.
• Fama, E. F (1998), “Market efficiency, long-term return, and behavioral finance,” Journal of Financial Economics, Vol. 49. PP 238- 306.
• Gultekin, M. N., Gultekin, N. B (1983), “Stock market seasonality: international evidence,” Journal of Financial Economics, Vol. 12. PP 469- 481.
• Haugen, R. A., Lakounishok, J (1988), The incredible January effect: the stock market’s unsolved mystery, (Dow- Jones Irwin, Homewood), IL.
• Kim, S. W (1988), “Capitalizing on the weekend effect,” Journal of Portfolio Management, Vol.14. PP 59- 63.
• Maberly, E., Pierce, R. M (2003), “The Halloween effect and Japanese equity prices: myth or exploitable anomaly,” Asia-Pacific Financial Markets, Vol. 10. PP 319- 334.
• Maberly, E., Pierce, R. M (2004), “Stock market efficiency withstands another challenge: solving the “Sell in May / Buy after Halloween” puzzle,” Econ Journal Watch, Vol. 1. PP 29-46.
• Maghayereh, A (2003), “Seasonality and January effect anomalies in an emerging capital market,” The Arab Bank Review, Vol. 5. PP 25- 32.
• Mehdian, S., Perry, M. J (1999), “An analysis of the Monday effect: evidence from international equity markets,” Journal of Research in Finance.
• Mills, T. C., Coutts, J. A (1995), “Calendar effects in the London stock exchange FT-SE indices,) The European Journal of Finance, Vol. 1. PP 79- 93.
• Thaler, R (1987a), “The January effect,” Journal of Economic Perspectives, Vol. 1. PP 197-201.
• Thaler, R (1987b), ‘Seasonal movements in security prices II: weekend, holiday, turn of the month and intraday effects,” Journal of Economic Perspectives, Vol. 1. PP 169-177.
• Al-Saad, K., Moosa, I., 2005. Seasonality in stock returns: evidence from an emerging market. Applied Financial Economics 15, 63-71.
• Aly, H., Mehdian, S., Perry, M. J (2004), “An analysis of day-of-the-week effects in the Egyptian stock market,” International Journal of Business, Vol. 9. PP. 301-308.
• Bouman, S., Jacobsen, B (2002), “The Halloween indicator, “Sell in May and Go Away”: another puzzle,” The American Economic Review, Vol. 92. PP. 1618- 1635.
• Brown, P., Keim, D., Kleidon, A., Marsh, T (1983), “Stock return seasonalities and tax-loss selling hypothesis- analysis of the arguments and Australian evidence,” Journal of Financial Economics, Vol. 12. PP. 105- 127.
• Dahel, R (1999), “Volatility in Arab stock markets,” Paper presented at the workshop on “Arab stock markets: recent trends and performance”, Organized by the Arab Planning Institute, Kuwait, March 15-16, 1999.
• Fama, E. F (1998), “Market efficiency, long-term return, and behavioral finance,” Journal of Financial Economics, Vol. 49. PP 238- 306.
• Gultekin, M. N., Gultekin, N. B (1983), “Stock market seasonality: international evidence,” Journal of Financial Economics, Vol. 12. PP 469- 481.
• Haugen, R. A., Lakounishok, J (1988), The incredible January effect: the stock market’s unsolved mystery, (Dow- Jones Irwin, Homewood), IL.
• Kim, S. W (1988), “Capitalizing on the weekend effect,” Journal of Portfolio Management, Vol.14. PP 59- 63.
• Maberly, E., Pierce, R. M (2003), “The Halloween effect and Japanese equity prices: myth or exploitable anomaly,” Asia-Pacific Financial Markets, Vol. 10. PP 319- 334.
• Maberly, E., Pierce, R. M (2004), “Stock market efficiency withstands another challenge: solving the “Sell in May / Buy after Halloween” puzzle,” Econ Journal Watch, Vol. 1. PP 29-46.
• Maghayereh, A (2003), “Seasonality and January effect anomalies in an emerging capital market,” The Arab Bank Review, Vol. 5. PP 25- 32.
• Mehdian, S., Perry, M. J (1999), “An analysis of the Monday effect: evidence from international equity markets,” Journal of Research in Finance.
• Mills, T. C., Coutts, J. A (1995), “Calendar effects in the London stock exchange FT-SE indices,) The European Journal of Finance, Vol. 1. PP 79- 93.
• Thaler, R (1987a), “The January effect,” Journal of Economic Perspectives, Vol. 1. PP 197-201.
• Thaler, R (1987b), ‘Seasonal movements in security prices II: weekend, holiday, turn of the month and intraday effects,” Journal of Economic Perspectives, Vol. 1. PP 169-177.
How to Cite
Abu Zarour, Bashar. 2007. “The Halloween Effect Anomaly: Evidence from Some Arab Countries Equity Markets”. Studies in Business and Economics 13 (1). https://doi.org/10.29117/sbe.2007.0031.
Section
Articles