The Halloween Puzzle in Selected Asian Stock Markets

Limited studies have looked into the presence of Halloween effect in stock market. This paper examines the existence of Halloween effect in the stock market of six Asian countries namely Malaysia, China, India, Japan, Hong Kong and Singapore. Results show that the effect is only found in Malaysia and Singapore with the OLS model. However, with the conditional variance model; China, India and Japan also show evidence of the Halloween effect. Hence, the “Sell in May” strategy might be profitable to the investors in these markets