The Halloween Effect Anomaly: Evidence from Some Arab Countries Equity Markets | Zendy

Bashar Abu Zarour | Zendy

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The Halloween Effect Anomaly: Evidence from Some Arab Countries Equity Markets

Author(s) -

Bashar Abu Zarour

Publication year - 2007

Publication title -

studies in business and economics

Language(s) - English

Resource type - Journals

eISSN - 1995-0586

pISSN - 1818-1228

DOI - 10.29117/sbe.2007.0031

Subject(s) - equity (law) , middle east , economics , arabic , stock market , financial economics , monetary economics , geography , political science , linguistics , philosophy , context (archaeology) , archaeology , law

This paper examines the existence of the Halloween effect for some Arab countries equity markets. The data set used in this study constitutes of daily stock prices for 9 Arab equity markets in the Middle East region. Following Bouman and Jacobsen (2002), we use regression analysis with dummy variables to test for the existence of the Halloween effect in some Arabian equity markets; which is equivalent to a simple mean test. A highly significant Halloween effect documented for 7 out of 9 Arabic equity markets in the Middle East region even after adjustments have been made for January effect.

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