The Halloween effect on the agricultural commodities markets P. (2017): The Halloween effect on the agricultural commodities markets. Agric. Econ. – Czech, 63: 441-448.
download PDF
The financial markets are impacted by various seasonal anomalies. One of the best known of them is the Halloween effect. The Halloween effect means that the summer period (May–October) asset returns are lower compared to the winter period (November–April) asset returns. In the paper, price series of 20 major agricultural commodities over the 1980–2015-time period are tested for the presence of the Halloween effect. The data show that 15 out of the 20 commodities recorded a higher average winter period than summer period returns and in 10 cases, the differences are statistically significant. The data also show that out of the 5 commodities with higher summer period returns, only in the case of poultry the differences are statistically significant.  
Andrade Sandro C., Chhaochharia Vidhi, Fuerst Michael E. (2013): “Sell in May and Go Away” Just Won’t Go Away. Financial Analysts Journal, 69, 94-105
Arendas P. (2015): The soybean market price cycle and its application on investment strategies. Nová Ekonomika, 8: 31–38.
Borowski K. (2015): Analysis of selected seasonality effects in market of barley, canola, rough rice, soybean oil and soybean meal future contracts. Journal of Economics and Management, 21: 73–89.
Bouman Sven, Jacobsen Ben (2002): The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle. American Economic Review, 92, 1618-1635
Cao M., Wei J. (2005): Stock market returns: A note on temperature anomaly. Journal of Banking & Finance, 29: 1559–1573.
Fama Eugene F. (1965): Random Walks in Stock Market Prices. Financial Analysts Journal, 21, 55-59
Etienne Xiaoli L., Irwin Scott H., Garcia Philip (2014): Bubbles in food commodity markets: Four decades of evidence. Journal of International Money and Finance, 42, 129-155
Haggard K. Stephen, Jones Jeffrey Scott, Witte H Douglas (2015): Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effect. Managerial Finance, 41, 642-657
Hamilton James D., Wu Jing Cynthia (2015): EFFECTS OF INDEX-FUND INVESTING ON COMMODITY FUTURES PRICES. International Economic Review, 56, 187-205
Hochman Gal, Rajagopal Deepak, Timilsina Govinda, Zilberman David (2014): Quantifying the causes of the global food commodity price crisis. Biomass and Bioenergy, 68, 106-114
Hong Harrison, Yu Jialin (2009): Gone fishin’: Seasonality in trading activity and asset prices. Journal of Financial Markets, 12, 672-702
Jacobsen Ben, Visaltanachoti Nuttawat (2009): The Halloween Effect in U.S. Sectors. Financial Review, 44, 437-459
Jacobsen B., Marquering W. (2008): Is it the weather? Journal of Banking & Finance, 32: 526–540.
Lakonishok Josef, Smidt Seymour (1988): Are Seasonal Anomalies Real? A Ninety-Year Perspective. Review of Financial Studies, 1, 403-425
Lean H.H. (2011): The Halloween puzzle in selected Asian stock markets. Journal of Economics and Management, 5: 216–225.
Liu Li (2014): Cross-correlations between crude oil and agricultural commodity markets. Physica A: Statistical Mechanics and its Applications, 395, 293-302
Mensi Walid, Hammoudeh Shawkat, Nguyen Duc Khuong, Yoon Seong-Min (2014): Dynamic spillovers among major energy and cereal commodity prices. Energy Economics, 43, 225-243
Milonas Nikolaos T. (1991): Measuring seasonalities in commodity markets and the half-month effect. Journal of Futures Markets, 11, 331-345
Ott Hervé (2014): Extent and possible causes of intrayear agricultural commodity price volatility. Agricultural Economics, 45, 225-252
Razali N.M., Wah Y.B. (2011): Power comparison of Shapiro-Wilk, Kolmogorov-Smirnov, Lilliefors and Anderson-Darling tests. Journal of Statistical Modeling and Analytics, 2: 21–33.
Wang Yudong, Wu Chongfeng, Yang Li (2014): Oil price shocks and agricultural commodity prices. Energy Economics, 44, 22-35
Zhang Cherry Y., Jacobsen Ben (2013): Are Monthly Seasonals Real? A Three Century Perspective. Review of Finance, 17, 1743-1785
download PDF

© 2021 Czech Academy of Agricultural Sciences | Prohlášení o přístupnosti