Market efficiency in the Greek stock exchange: the Halloween effect

Authors

  • Κώστας Συριόπουλος
  • Παναγιώτης Γιαννόπουλος

Keywords:

Stock exchange, Greece, Price of securities

Abstract

This paper examines the robustness of the Greek Halloween puzzle to alternative model specifications and time periods. The Halloween effect disappears after adjustments for the impact of outliers, and other model specifications. This paper argues against the existence of Sell in May effect in the ASE and its sectors.

JEL G10, G24

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Published

05-06-2006

How to Cite

Συριόπουλος Κ., & Γιαννόπουλος Π. (2006). Market efficiency in the Greek stock exchange: the Halloween effect. SPOUDAI Journal of Economics and Business, 56(2), 75–88. Retrieved from https://spoudai.org/index.php/journal/article/view/368

Issue

Vol. 56 No. 2 (2006): Vol 56, No 2 (2006)

Section

Articles

License

Copyright (c) 2006 SPOUDAI Journal of Economics and Business

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.