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Eastern Halloween effect: A stochastic dominance approach

2020; Elsevier BV; Volume: 68; Linguagem: Inglês

10.1016/j.intfin.2020.101241

1873-0612

David Chui, Wui Wing Cheng, Sheung Chi Chow, Ya Li,

Market Dynamics and Volatility

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.