Central and Eastern European Share Markets and the Halloween Effect

Abstract

The Halloween effect is one of the best known share market calendar anomalies. It is based on the phenomenon when the summer period (May -October) returns tend to be lower compared to the winter period (November -April) returns. This paper investigates the presence of the Halloween effect on share markets of 12 CEE countries. The results show that although the Halloween effect pattern can be found in the majority of the CEE share markets, it is statistically significant only in the case of Poland and Ukraine. The data also show that the Halloween effect tends to be stronger on mature share markets of Germany and the USA than on the CEE share markets as a group, however there can be found some exceptions, such as the Ukrainian, Russian and Estonian share markets. In most of the cases, the Halloween effect grew stronger after the global financial crisis of 2008 although there are some exceptions such as the Lithuanian and Russian share markets. JEL classification:G01, G14, G15

The Turn of the Month Effect on CEE Stock Markets

“…While on all the other stock markets, even in the case that the differences were not statistically significant, the average T-o-M returns were higher than the average R-o-M returns for all three alternatives of turn of the month windows, the (2+2) and (3+3) windows for OMXR and the (3+3) window for SAX recorded average R-o-M returns higher when compared to the average T-o-M returns. The tendency of the Slovak stock market to behave differently in comparison to the majority of stock markets in the CEE region was confirmed by numerous researchers, including (Arendas and Chovancova 2016;Olbrys and Majewska 2016;Carausu et al 2018). This fact is often explained by its lower level of development, insufficient liquidity, and very low market capitalization.…”

“…Moreover, as this anomaly was first observed back in the 19th century, it is relatively easily exploitable in an investment strategy, and numerous authors paid attention to it. Authors, such as Bouman and Jacobsen (2002), Andrade et al (2013), Arendas (2017), Arendas and Chovancova (2016), Arendas et al (2018) or , investigated the presence of the Halloween effect on stock, commodity, and bond markets.…”