The Halloween effect on the agricultural commodities markets

Árendáš, Peter

doi:10.17221/45/2016-agricecon

Cited by 9 publications

(4 citation statements)

References 20 publications

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“…Source: Own processing As the previous research of the Halloween effect on commodities markets (Arendas, 2017a;Arendas, 2017b) shows, the oil market isn't affected by the Halloween effect, quite the contrary. The oil market summer period returns tend to be notably higher compared to the winter period returns.…”

Section: Figure 1 Monthly Oil Pricesmentioning

confidence: 91%

Seasonal patterns in oil prices and their implications for investors

Árendáš

Tkacova

Bukoven

2018

Journal of International Studies

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This paper focuses on the investigation of oil price seasonal patterns and their exploitability in the investment process. As oil is one of the most important and most traded commodities, a successful investment strategy exploiting seasonal patterns in oil price behaviour may be useful for many retail as well as institutional investors. The results show that during the 1983-2017 period, the Brent and WTI oil prices tended to record abnormally positive returns during the months of March, April and August and abnormally negative returns -during the months of October and November. The analysis also shows that simple investment strategies based on switching between the oil market and money market investments, that are utilizing the oil price seasonal patterns, can outperform in the long term.

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Section: Figure 1 Monthly Oil Pricesmentioning

confidence: 91%

Seasonal patterns in oil prices and their implications for investors

Árendáš

Tkacova

Bukoven

2018

Journal of International Studies

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“…The ToM effect is not a new phenomenon; however, we are unaware of any study investigating the presence of the ToM effect on agricultural commodity markets, despite some other calendar anomalies that have already been confirmed by Arendas (2017) or Burakov and Feidin (2018). This paper aims to fill this gap, investigate the presence of the ToM effect in key agricultural commodity markets, and determine whether the ToM effect is strong enough to be successfully exploited by a simple investment strategy.…”

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confidence: 90%

Agricultural commodity markets and the Turn of the month effect

Árendáš¹,

Kotlebová²

2023

Agric. Econ. - Czech

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The Turn of the month (ToM) effect is a calendar anomaly when the majority of returns of an asset are concentrated into several days around the end of the old month and the start of the new one. Until now, the investigation of the ToM effect has mainly been focused on the stock markets. However, this paper investigates the presence of the ToM effect in eight key agricultural commodity markets (cocoa, coffee, corn, cotton, rice, soybean, sugar, wheat), using three different alternatives of the ToM window, during the 2001-2021 time period. The results show a statistically significant ToM effect in the rice, coffee, and sugar markets. Further results show that the ToM pattern changed during the COVID-19 pandemic, and that, in the case of commodities with a statistically significant ToM effect, the ToM effect can be efficiently used to beat the buy & hold investment strategy convincingly.

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“…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.…”

Section: Literature Reviewmentioning

confidence: 99%

The Turn of the Month Effect on CEE Stock Markets

Árendáš

Kotlebová

2019

IJFS

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The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during the remainder of the month. This paper investigates the presence of the Turn of the month effect in the stock markets of 11 Central and Eastern European (CEE) countries. We focused not only on the anomaly in returns, but also on the anomaly in price volatility. The results show that, during a 20-year period (1999–2018), a statistically significant Turn of the month effect was present in the stock markets of seven out of 11 investigated countries. However, the anomaly affected only the stock market returns, not price volatility.

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The Halloween effect on the agricultural commodities markets

Cited by 9 publications

References 20 publications

Seasonal patterns in oil prices and their implications for investors

Seasonal patterns in oil prices and their implications for investors

Agricultural commodity markets and the Turn of the month effect

The Turn of the Month Effect on CEE Stock Markets

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