TY - JOUR
T1 - Eastern Halloween effect
T2 - A stochastic dominance approach
AU - Chui, David
AU - Wing Cheng, Wui
AU - Chi Chow, Sheung
AU - LI, Ya
N1 - Publisher Copyright:
© 2020 Elsevier B.V.
PY - 2020/9
Y1 - 2020/9
N2 - The Eastern market wisdom of “May is poor, June is bleak, and July will turn around” unveils an international stock markets dynamic that lower returns in May followed by even worse return in June but rebounding back to an upward trend in July. This wisdom is termed as “Eastern Halloween” effect in this paper which has some similarities with the traditional Halloween Effect. However, the traditional risk approaches fail to explain this Eastern Halloween effect satisfactorily. We apply stochastic dominance method to examine the Eastern Halloween effect and provide solid evidence of existence of Eastern Halloween effect.
AB - The Eastern market wisdom of “May is poor, June is bleak, and July will turn around” unveils an international stock markets dynamic that lower returns in May followed by even worse return in June but rebounding back to an upward trend in July. This wisdom is termed as “Eastern Halloween” effect in this paper which has some similarities with the traditional Halloween Effect. However, the traditional risk approaches fail to explain this Eastern Halloween effect satisfactorily. We apply stochastic dominance method to examine the Eastern Halloween effect and provide solid evidence of existence of Eastern Halloween effect.
KW - Halloween effect
KW - Sell in May and go away
KW - Stochastic dominance
UR - http://www.scopus.com/inward/record.url?scp=85089588583&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2020.101241
DO - 10.1016/j.intfin.2020.101241
M3 - Article
AN - SCOPUS:85089588583
SN - 1042-4431
VL - 68
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
M1 - 101241
ER -