Is the Halloween Effect Present on the Markets for Agricultural Commodities?

Burakov, D.; Freidin, M.

Is the Halloween Effect Present on the Markets for Agricultural Commodities?

2018

Burakov, D. | Freidin, M.

Seasonal anomalies play an important role in the global economic system. One of the most frequently empirically observed anomalies is the Halloween effect. Halloween effect describes the anomaly on the financial markets, which is that the returns of different assets in the summer period are generally lower than the returns in the winter period. This study tests the Halloween effect on the agricultural commodities’ markets over the period from 1980 to 2016. The sample includes price series of 27 major agricultural commodities. The data show that 20 out of the 27 commodities recorded a higher average winter period than summer period returns and in 15 cases, the differences are statistically significant. The data also show that out of the 7 commodities with higher summer period returns (the “reverse Halloween effect”) only in cases of poultry and tea the differences are of statistically significant nature.

Показать больше [+]