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Int. J. Financial Stud. 2018, 6(2), 42;

A Closer Look at the Halloween Effect: The Case of the Dow Jones Industrial Average

Department of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, Dolnozemska cesta 1, 852 35 Bratislava, Slovakia
Author to whom correspondence should be addressed.
Received: 22 December 2017 / Revised: 28 March 2018 / Accepted: 9 April 2018 / Published: 12 April 2018
(This article belongs to the Special Issue Advances in Behavioral Finance)
Full-Text   |   PDF [237 KB, uploaded 3 May 2018]


The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November–April) than over the summer half of the year (May–October). The vast majority of studies that investigated the Halloween effect over the recent decades focused only on stock indices. This means that they evaluated whether a stock index follows the Halloween effect pattern, but they omitted digging a little deeper and analyze the Halloween effect on the individual stocks level. This paper investigates to what extent the blue-chips stocks included in the Dow Jones Industrial Average are affected by the Halloween effect and whether the Halloween effect is widespread or the behavior of the whole index is driven by only a handful of stocks that are strongly affected by the Halloween effect. The results show that, although the strength of the Halloween effect varies quite rapidly from stock to stock, the vast majority of analyzed stocks experienced a notably higher average winter period than summer period returns over the 1980–2017 period. Moreover, in 18 out of 35 cases, the Halloween effect was statistically significant. View Full-Text
Keywords: Halloween effect; calendar anomaly; stock market; Dow Jones Industrial Average Halloween effect; calendar anomaly; stock market; Dow Jones Industrial Average
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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Arendas, P.; Malacka, V.; Schwarzova, M. A Closer Look at the Halloween Effect: The Case of the Dow Jones Industrial Average. Int. J. Financial Stud. 2018, 6, 42.

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