The Validity of the Halloween Effect in the Istanbul Stock ExchangeJournal: Research Journal of Politics, Economics and Management (Vol.1, No. 1)
Publication Date: 2013-01-01
Authors : Veli YILANCI;
Page : 21-30
Keywords : Halloween effect; January effect; outlier; market efficiency.;
In this study, we analyze the validity of Halloween effect in Istanbul Stock Exchange (ISE) between January 1990 - December 2010 which implies stock returns are lower during the May-October period versus the November-April period. As well as the Least Squares Method, we use Huber’s M-estimator which is a robust estimator against to outliers, and conclude that there is no Halloween effect in the ISE which shows the finding of Bouman and Jacobsen (2002) is due to disregarding outliers.
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Last modified: 2013-11-27 13:20:30