The Halloween Effect: The Impact of Individual Stocks in Germany
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2021-07-15
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en
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Abstract
The Halloween effect, the tendency that stocks perform better between November 1 and April 30 than in the other months of the year, has been a huge puzzle since its discovery in 2002. Various authors have examined the existence and the causes of this fascinating effect over the past two decades. These authors mainly investigated the Halloween effect considering stock indices. Although research on this macro level is important, very few authors looked closer at the Halloween effect by considering the individual stocks that are included in the stock indices. That’s why this paper sheds another light on the Halloween effect by considering the individual stocks of one of the most important European indices, the DAX 30. The results show that almost all analyzed stocks, 32 of the 33, followed the Halloween effect pattern in Germany. However, the results also reveal that only 4 of the 33 analyzed companies show a (much) more significant Halloween effect than the DAX 30 itself. This may imply that the Halloween effect is driven by only a handful of companies in Germany. Moreover, the results show that smaller companies are more heavily affected by the Halloween effect than larger companies.
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Faculteit der Managementwetenschappen