IS HALLOWEEN EFFECT STILL OBSERVABLE IN THE UNITED STATES' EQUITY MARKETS?

摘要

Old saying "Sell in May and go away " has been well practiced in financial markets by investors and institutions. Researchers have documented higher returns in winter months from November to April and lower returns in summer months during May to October. This is also called the "Halloween effect. " The current study shows that the Halloween effect does appear in the United States (U.S) equity market in three out of four observed indices even after controlling for the January effect. When the author compared the Halloween Trading Strategy (HTS) to the returns earned from traditional Buy and Hold Strategy (B&HS), it was found that the Dow Jones Industrial Average (DJIA) index shows higher returns.