Central and Eastern European Share Markets and the Halloween Effect

Abstract

The Halloween effect is one of the best known share market calen- dar anomalies. It is based on the phenomenon when the summer period (May - October) returns te nd to be lower compared to the winter period (November - April) returns. This paper investigates the presence of the Halloween effect on share markets of 12 CEE coun- tries. The results show that although the Halloween effect pattern can be found in the majority of the CEE share markets, it is statisti- cally significant only in the case of Poland and Ukraine. The data also show that the Halloween effect tends to be stronger on mature share markets of Germany and the USA than on the CEE share markets as a group, however there can be found some exceptions, such as the Ukrainian, Russian and Estonian share markets. In most of the cases, the Halloween effect grew stronger after the global financial crisis of 2008 although there are some exceptions such as the Lithuanian and Russian share markets.