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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Saisonalität auf europäischen Aktienmärkten: eine branchenspezifische Analyse
Organization Unit
  • Jan Hunziker
  • Thorsten Hens
  • Alexandre Ziegler
  • German
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 49
Date July 2016
Abstract Text Following the publication of Bouman and Jacobsen (2002) the discussion about a new observable calen-dar effect became widely popular for further academic research. The calendar effect is commonly named as Halloween effect. The Halloween Effect describes a pattern, where stock market returns during the November – April period deviate significantly positive from those during the opposite May – October period. Hence, it could be profitable and especially less risky holding cash during the summer period instead of a full year investment in the market. Today the state of the art of academic literature provides a wide range of studies on the effect and its ability for challenging the Efficient Market Hypothesis. How-ever, there is still widespread disagreement on the existence of the Halloween effect and in what way the effect’s occurrence is affected by the publication of the first empirical based paper. The main goal of this thesis is to detect, if the Halloween effect also poses a serious seasonal pattern in an aggregated European Market as well as in the corresponding sectors. By using standard Ordinary least squares re-gressions for both the total market and 12 out of 18 European sectors, I find a statistical significant Hal-loween effect in the time period between 1992 and 2015 by analyzing STOXX Europe 600 Indices. Fur-thermore, especially pro-cyclical production sectors seem to manifest a relatively strong Halloween ef-fect compared to defensive consumer sectors that rather tend to show significantly positive summer returns. To investigate, if the Halloween effect especially challenges the Efficient Market Hypothesis after its first documentation, the adequate subsample shall be analyzed. Further, I conduct numerous robustness tests, testing the Halloween Effect on influence of dividend payments, a possible January effect and in terms of volatility. Since I still find positive excess returns between summer and winter, I implement several investment strategies based on the Halloween puzzle to verify, if the pattern remains at least economically significant. However, my main conclusion implies that the Halloween effect lost its statistical significance in recent periods as well as the classical understanding of a Halloween strategy is not capable to significantly outperform a buy-and-hold strategy as soon as plausible transaction costs between 0.1 and 1 percent are taken into account.
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