文章基本信息

标题：Central and Eastern European Share Markets and the Halloween Effect
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作者：Peter Arendas ; Bozena Chovancova
期刊名称：Montenegrin Journal of Economics
印刷版ISSN：1800-5845
电子版ISSN：1800-6698
出版年度：2016
卷号：12
期号：2
页码：61-71
DOI：10.14254/1800-5845.2016/12-1/4
出版社：Economic Laboratory for Transition Research Podgorica
摘要：The Halloween effect is one of the best known share market calendaranomalies. It is based on the phenomenon when the summerperiod (May – October) returns tend to be lower compared to thewinter period (November – April) returns. This paper investigates thepresence of the Halloween effect on share markets of 12 CEE countries.The results show that although the Halloween effect patterncan be found in the majority of the CEE share markets, it is statisticallysignificant only in the case of Poland and Ukraine. The dataalso show that the Halloween effect tends to be stronger on matureshare markets of Germany and the USA than on the CEE sharemarkets as a group, however there can be found some exceptions,such as the Ukrainian, Russian and Estonian share markets. Inmost of the cases, the Halloween effect grew stronger after theglobal financial crisis of 2008 although there are some exceptionssuch as the Lithuanian and Russian share markets
关键词：Central and Eastern Europe (CEE);financial crisis;Halloween effect;seasonal anomaly;stock market