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Identification of the Halloween Effect in Swedish Sectors
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
2013 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Our thesis researches the Halloween effects in the Swedish stock market from a sector perspective. The notion Halloween effect refers to higher returns during the period November until April than the period May until October. The anomaly has been confirmed by previous researchers in Sweden among other countries. There has not been any definite explanation for this anomaly. The majority of explanations base on the assumption that the anomaly is a market wide and induced by changes in investment behavior. However, previous research has shown that the Halloween effect could be limited to certain sectors which experience significantly higher returns during winter months than the summer months. The sectors that exhibited the high Halloween effect tend to be heavy industry sectors while consumer oriented sectors tend to outperform during summer periods. In our study we research the Swedish sectors to test whether the findings of previous researches are true for other market as well. Our result indicates that the Halloween effect is present in a few sectors and not market wide. The findings thus support previous research that the Halloween effect is sector specific. The sectors that exhibited the highest Halloween effect were sectors in heavy industry. 

Place, publisher, year, edition, pages
2013. , 53 p.
Keyword [en]
Halloween effect, Sell in May effect, Sell in May and Go Away
National Category
Business Administration
Identifiers
URN: urn:nbn:se:umu:diva-81594OAI: oai:DiVA.org:umu-81594DiVA: diva2:657103
Supervisors
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Available from: 2013-10-21 Created: 2013-10-18 Last updated: 2013-10-21Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf