An Analysis of Stock Market Anomalies at the Austrian Exchange
The Halloween effect in the Austrian Market
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Over the past decades financial economists have published numerous stock return patterns related to calendar time. The list encompasses the January effect, Monday effect, turn-of-the-month-effect, holiday effect and Halloween effect, to name just a few. 'The Economist'dismissed any trading rule which is not strong enough to out-perform a Buy & Hold strategy on a risk-adjusted basis to be economically insignifi-cant. Bouman and Jacobsen (2002) asthe poisoners for a statistical proven Hallow-een effect with an analysis of 37 markets found out that 36 of them experienced sig-nificant November-Apr...
Over the past decades financial economists have published numerous stock return patterns related to calendar time. The list encompasses the January effect, Monday effect, turn-of-the-month-effect, holiday effect and Halloween effect, to name just a few. 'The Economist'dismissed any trading rule which is not strong enough to out-perform a Buy & Hold strategy on a risk-adjusted basis to be economically insignifi-cant. Bouman and Jacobsen (2002) asthe poisoners for a statistical proven Hallow-een effect with an analysis of 37 markets found out that 36 of them experienced sig-nificant November-April (winter period) returns as opposed to May-October (sum-mer period) returns. Their argumentation stated that the winter period outperforms the summer period on a regular bases. They also introduced a Halloween strategy suggestingan investment into the winter periods andwith the proceeds to invest inrisk free options (government bonds) in summer periods whereby this approach would considerable beat the Buy & Hold strategy.This paper examines the robust-ness of the Halloween effect together with the Halloween strategy set against the Buy & Hold strategy for the Austrian stock exchange.
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