This paper examines the Halloween effect in the Romanian stock market. The analysis is conducted for four stock indices using monthly returns. The Halloween effect is not identified for any of the indices. Therefore, an investment strategy based on the Halloween effect was not suitable for...

This study examines seasonality in the Vietnam Stock Market Index over 10 years, since the market’s establishment on July 28th, 2000 until December 31st, 2010. The study found significant positive returns in April and significant negative returns in July for the VN-Index. Also, the...

This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...

This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive and statistically significant gold price changes. This “autumn...

Maberly and Pierce (2004) re-examine the work of Bouman and Jacobsen (2002) that documents significantly lower monthly stock market returns over the period May to October than over the period November to April. The finding has been called the Halloween effect and is present to varying degrees in...

This paper investigates two calendar anomalies in an emerging African market. Both the day of the week and month of the year effects are examined for Ghana. The latter is an interesting case because i) it operates for only three days per week during the sample period and ii) the increased focus...

The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the...

Both the day of the week and the month of the year effects are examined for the Ghana Stock Exchange. The latter is an interesting case because (a) it operates for only 3 days per week during the sample period and (b) the increased focus that African stock markets have received lately from both...

The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The latter would make its returns easier to compare; reduce uncertainty; eliminate the exchange rate risk and as a result we expect the new currency to strengthen the...

Multiple psychological studies support a relationship between weather and the mood of individuals. Furthermore, mood seems to influence the decision making process of individuals namely when those decisions are risky. Therefore, weather may have an indirect impact on market returns. We review...