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

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

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Title: The Halloween Effect Anomaly: Evidence from Some Arab Countries Equity Markets
Author: Abu Zarour, Bashar
Abstract: This paper examines the existence of the Halloween effect for sorne 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 Arabisn equity rnarkets; which is equivalent to a simple mean test. A highly significant Halloween efect documented for 7 out of 9 Arabic equity mqrkets in the Middle East region even after adjustments have been made for January ffict.
URI: http://hdl.handle.net/10576/6858
Date: 2007

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