The Halloween Indicator is More a Treat than a Trick

Authors

  • Robert Lloyd Fort Hays State University
  • Chengping Zhang Shanghai Business School George Fox University
  • Stevin Rydin Oral Roberts University

Keywords:

Accounting, Finance, Stock Market

Abstract

This paper uses stock market returns (2007-2015) and confirms the existence of Halloween effect anomaly after the 2008 financial crisis. Findings suggest that the Halloween effect can still be observed in 34 out of the 35 countries. A more aggressive trading strategy of shorting the market during summer and taking a long position in winter yields 4.77% more than the buy-and-hold strategy. A new explanation is offered for the persistence of the Halloween effect. A positive feedback between investors’ belief and behavior causes the market to underperform in the summer and recover in the winter, resulting in a self-fulfilling prophecy.

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Published

2017-09-01

How to Cite

Lloyd, R., Zhang, C., & Rydin, S. (2017). The Halloween Indicator is More a Treat than a Trick. Journal of Accounting and Finance, 17(6). Retrieved from https://articlegateway.com/index.php/JAF/article/view/931

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Section

Articles