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Solving the halloween indictor puzzle : market efficiency still reigns

Maberly, Edwin D. and Pierce, Raylene M. 2004, Solving the halloween indictor puzzle : market efficiency still reigns, in Proceedings of the 8th New Zealand Finance Colloquium 2004, University of Waikato, Hamilton, N. Z., pp. 1-18.

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Title Solving the halloween indictor puzzle : market efficiency still reigns
Author(s) Maberly, Edwin D.
Pierce, Raylene M.
Conference name New Zealand Finance Colloquium (8th : 2004 : Hamilton, New Zealand)
Conference location Hamilton, New Zealand
Conference dates 30-31 January 2004
Title of proceedings Proceedings of the 8th New Zealand Finance Colloquium 2004
Publication date 2004
Start page 1
End page 18
Publisher University of Waikato
Place of publication Hamilton, N. Z.
Summary Prior research by Bouman and Jacobsen (2002) document unusually high monthly returns over the period November-April for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. The implication is that the Halloween effect represents an exploitable anomaly, which has negative implications for stock market efficiency. We extend this research to the S&P 500 futures contract and find no evidence of an exploitable Halloween effect over the period April 1982 through April 2003. Re-examining Bouman and Jacobsen’s empirical results for the U.S., we find that two outliers drive their results. These two outliers are associated with the “Crash” in October 1987 and collapse of the hedge fund Long-Term Capital Management in August 1998. After inserting a dummy variable to account for the impact of the two identified outliers, the Halloween effect disappears.
ISSN 1175-8074
Language eng
Field of Research 150205 Investment and Risk Management
140303 Economic Models and Forecasting
HERDC Research category E1.1 Full written paper - refereed
Persistent URL http://hdl.handle.net/10536/DRO/DU:30023923

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
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