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The halloween effect and Japanese equity prices : myth or exploitable anomaly

Maberly, Edwin D. and Pierce, Raylene M. 2003, The halloween effect and Japanese equity prices : myth or exploitable anomaly, Asia-Pacific financial markets, vol. 10, no. 4, pp. 319-334, doi: 10.1007/s10690-005-4240-0.

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Title The halloween effect and Japanese equity prices : myth or exploitable anomaly
Author(s) Maberly, Edwin D.
Pierce, Raylene M.
Journal name Asia-Pacific financial markets
Volume number 10
Issue number 4
Start page 319
End page 334
Total pages 35
Publisher Springer Netherlands
Place of publication Amsterdam, Netherlands
Publication date 2003-12
ISSN 1387-2834
1573-6946
Summary Bouman and Jacobsen (American Economic Review 92(5), 1618–1635, 2002) examine monthly stock returns for major world stock markets and conclude that returns are significantly lower during the May–October periods versus the November–April periods in 36 of 37 markets examined. They argue that, in general, the Halloween strategy outperforms the buy and hold strategy thereby casting doubt on the validity of the efficient market paradigm. More recently, Maberly and Pierce (Econ Journal Watch 1(1), 29–46, 2004) re-examine the evidence for U.S. equity prices and conclude that Bouman and Jacobsen’s results are not robust to alternative model specifications. Extending prior research, this paper examines the robustness of the Halloween strategy to alternative model specifications for Japanese equity prices. The Halloween effect is concentrated in the period prior to the introduction of Nikkei 225 index futures in September 1986. After the internationalization of Japanese financial markets in the mid-1980s, the Halloween effect disappears.
Language eng
DOI 10.1007/s10690-005-4240-0
Field of Research 150205 Investment and Risk Management
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2005, Springer
Persistent URL http://hdl.handle.net/10536/DRO/DU:30024626

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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