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

journal contribution
posted on 2003-12-01, 00:00 authored by E Maberly, R Pierce
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.

History

Journal

Asia-Pacific financial markets

Volume

10

Issue

4

Pagination

319 - 334

Publisher

Springer Netherlands

Location

Amsterdam, Netherlands

ISSN

1387-2834

eISSN

1573-6946

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2005, Springer

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