The Halloween Effect on Energy Markets: An Empirical Study


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Authors

  • Dmitry Burakov Financial University under the Government of the Russian Federation
  • Max Freidin Belarusian State Agricultural Academy
  • Yuriy Solovyev Modern Humanitarian Academy

Abstract

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 in the financial markets, which is that the returns of different assets in the summer period generally are lower than the returns in the winter period. This study tests the hypothesis of the existence of the Halloween effect on the energy markets over the period from 1985 to 2016. The sample includes series of prices for various energy resources. The econometric estimation showed that for a range of energy markets, returns during the summer period are higher than the returns in winter ones. The difference in returns is statistically significant, which speaks in favor the Halloween effect.Keywords: Halloween effect, financial market, energy market, bounded rationality, investor sentimentJEL Classifications: G15; G41; Q41, Q43.

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Author Biographies

Dmitry Burakov, Financial University under the Government of the Russian Federation

Department of Monetary Relations and Monetary Policy, PhD in Economics, associate proffesor

Max Freidin, Belarusian State Agricultural Academy

Department of Marketing

Yuriy Solovyev, Modern Humanitarian Academy

Department of Economics & Management of National Economy

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Published

2018-03-20

How to Cite

Burakov, D., Freidin, M., & Solovyev, Y. (2018). The Halloween Effect on Energy Markets: An Empirical Study. International Journal of Energy Economics and Policy, 8(2), 121–126. Retrieved from https://www.econjournals.com/index.php/ijeep/article/view/6092

Issue

Vol. 8 No. 2 (2018)

Section

Articles

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