The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market
The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers abou...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-01-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7072/11/1/13 |
| _version_ | 1797858400815546368 |
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| author | Júlio Lobão Ana C. Costa |
| author_facet | Júlio Lobão Ana C. Costa |
| author_sort | Júlio Lobão |
| collection | DOAJ |
| description | The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers about 120 years of Portuguese stock market history. We combine subsample analysis with rolling window analysis to show that the performance of the anomaly has varied in an adaptive fashion over time. The anomaly existed during the first four decades of the 20th century. Afterward, it vanished for 60 years, reappearing only at the beginning of the 21st century. However, in the first two decades of the new century, the effect seems to be a mere reflection of the excess return generated in January. Overall, the time-varying performance of the Halloween effect supports the adaptive market hypothesis for the Portuguese stock market. |
| first_indexed | 2024-04-09T21:12:46Z |
| format | Article |
| id | doaj.art-340d31e63f304dbdae85a1e2c84ed099 |
| institution | Directory Open Access Journal |
| issn | 2227-7072 |
| language | English |
| last_indexed | 2024-04-09T21:12:46Z |
| publishDate | 2023-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | International Journal of Financial Studies |
| spelling | doaj.art-340d31e63f304dbdae85a1e2c84ed0992023-03-28T13:47:20ZengMDPI AGInternational Journal of Financial Studies2227-70722023-01-0111131310.3390/ijfs11010013The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European MarketJúlio Lobão0Ana C. Costa1Portugal School of Economics and Management and CEF.UP, University of Porto, Rua Dr. Roberto Frias, 4200-464 Porto, PortugalSchool of Economics and Management, University of Porto, Rua Dr. Roberto Frias, 4200-464 Porto, PortugalThe Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers about 120 years of Portuguese stock market history. We combine subsample analysis with rolling window analysis to show that the performance of the anomaly has varied in an adaptive fashion over time. The anomaly existed during the first four decades of the 20th century. Afterward, it vanished for 60 years, reappearing only at the beginning of the 21st century. However, in the first two decades of the new century, the effect seems to be a mere reflection of the excess return generated in January. Overall, the time-varying performance of the Halloween effect supports the adaptive market hypothesis for the Portuguese stock market.https://www.mdpi.com/2227-7072/11/1/13calendar anomaliesadaptive market hypothesisHalloween effectmarket efficiencyPortugal |
| spellingShingle | Júlio Lobão Ana C. Costa The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market International Journal of Financial Studies calendar anomalies adaptive market hypothesis Halloween effect market efficiency Portugal |
| title | The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market |
| title_full | The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market |
| title_fullStr | The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market |
| title_full_unstemmed | The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market |
| title_short | The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market |
| title_sort | adaptive dynamics of the halloween effect evidence from a 120 year sample from a small european market |
| topic | calendar anomalies adaptive market hypothesis Halloween effect market efficiency Portugal |
| url | https://www.mdpi.com/2227-7072/11/1/13 |
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