Journal of
Marketing Development and Competitiveness
Scholar Gateway
Abstracts prior to volume 5(1) have been archived!Issue 5(1), October 2010 -- Paper AbstractsGirard (p. 9-22)Cooper (p. 23-32)Kunz-Osborne (p. 33-41)Coulmas-Law (p.42-46)Stasio (p. 47-56)Albert-Valette-Florence (p.57-63)Zhang-Rauch (p. 64-70)Alam-Yasin (p. 71-78)Mattare-Monahan-Shah (p. 79-94)Nonis-Hudson-Hunt (p. 95-106) 
JOURNAL OF ACCOUNTING AND FINANCE
The Halloween Indicator is More a Treat than a Trick
Author(s): Robert Lloyd, Chengping Zhang, Stevin Rydin
Citation: Robert Lloyd, Chengping Zhang, Stevin Rydin ,(2017) "The Halloween Indicator is More a Treat than a Trick" Journal of Accounting and Finance, Vol. 17, Iss. 6, pp. 96-108
Article Type: Research paper
Publisher: North American Business Press
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.
