Citation

Are Latin American Stock Markets Efficient? The Implications of the Halloween Strategy

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Abstract:

We carry out an in-depth analysis of the patterns of stock market returns in seven Latin American countries – Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, and Peru – to identify the presence and persistence of the investment strategy based on the Halloween effect. In addition, to test whether these markets are efficient, we reevaluate the Halloween effect using a predictive ability test based on Hansen (2005). We find that the Halloween effect has strongly weakened or even disappeared in recent years. Overall, our findings reject the hypothesis that a trading strategy based on the Halloween effect significantly outperforms a buy-and-hold strategy.
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Author's Keywords:

Halloween effect, anomalies, market efficiency, data-snooping
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Association:
Name: BALAS
URL:
http://http://www.balas.org/


Citation:
URL: http://citation.allacademic.com/meta/p1368401_index.html
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MLA Citation:

Almeida, Juliano., Almeida, Guilherme., Bergmann, Daniel., Savoia, José Roberto. and Silva, Fabiana. "Are Latin American Stock Markets Efficient? The Implications of the Halloween Strategy" Paper presented at the annual meeting of the BALAS, University of San Diego, San Diego, USA, Mar 21, 2018 <Not Available>. 2018-10-15 <http://citation.allacademic.com/meta/p1368401_index.html>

APA Citation:

Almeida, J. R., Almeida, G. R., Bergmann, D. R., Savoia, J. F. and Silva, F. L. , 2018-03-21 "Are Latin American Stock Markets Efficient? The Implications of the Halloween Strategy" Paper presented at the annual meeting of the BALAS, University of San Diego, San Diego, USA Online <APPLICATION/PDF>. 2018-10-15 from http://citation.allacademic.com/meta/p1368401_index.html

Publication Type: Conference Paper/Unpublished Manuscript
Review Method: Peer Reviewed
Abstract: We carry out an in-depth analysis of the patterns of stock market returns in seven Latin American countries – Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, and Peru – to identify the presence and persistence of the investment strategy based on the Halloween effect. In addition, to test whether these markets are efficient, we reevaluate the Halloween effect using a predictive ability test based on Hansen (2005). We find that the Halloween effect has strongly weakened or even disappeared in recent years. Overall, our findings reject the hypothesis that a trading strategy based on the Halloween effect significantly outperforms a buy-and-hold strategy.


 
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