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. Copyright Springer Science + Business Media, Inc. 2003bull versus bear markets, efficient markets, money flows, Japanese stock market, market anomalies, trading rules,

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This study addresses a number of important market microstructure issues associated with exchange‐traded equity options having significant research implications for studies investigating clustering on option strike prices. Price threshold levels associated with exchange listing and the automatic exercise of equity options as established by the Securities and Exchange Commission and Options Clearing Corporation (OCC) to carry out their regulatory and oversight responsibilities are examined. Significant changes are documented including motivation for such changes. Market microstructure issues potentially impact equity options research outcomes and one important issue is documenting changes over time to the strike price grid. A chronological outline of the introduction of option strike codes from April 26, 1973, through December 2008 is presented. Pricing discrepancies are documented between Standard & Poor's end‐of‐day updates (closing prices) and similar prices reported by Center for Research in Security Prices, Thompson, and Bloomberg, which is the source of ambiguities associated with the OCC's official settlement price. A number of quirks associated with option databases are identified to be of potential interest to researchers. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:188–201, 2010

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