The Halloween effect and Japanese equity prices: myth or exploitable anomaly

DOI10.1007/S10690-005-4240-0zbMATH Open1075.91550OpenAlexW1994116731MaRDI QIDQ2575428FDOQ2575428

Authors: Edwin D. Maberly, Raylene M. Pierce 

Publication date: 9 December 2005

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-005-4240-0

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zbMATH Keywords

efficient marketsJapanese stock markettrading rulesbull versus bear marketsmarket anomaliesmoney flows

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cited In (3)

• Does the momentum strategy work universally? Evidence from the Japanese stock market
• Stock returns seasonality in emerging Asian markets
• Market conditions and calendar anomalies in Japanese stock returns

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