Halloween Strategy

In investing, the strategy of buying securities after October 31 and selling them in May. The strategy is based on the idea that securities perform the best between October and May. It is an example of a calendar strategy.

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Halloween strategy as an equity trading strategy can be seen as to completely sell stock portfolio holdings during the months of May to October and hold stock portfolios during the months of November to early April.

Table 6 Returns from Halloween Trading Strategy (HTS) and Buy and Hold Strategy (B&HS) Index Halloween Strategy Returns Buy & Hold Strategy Returns (HTS) (B&HS) Mean Stdev p-value Mean Stdev p-value DJIA 0.7745 2.7869 0.0000 (***) 0.7526 4.0788 0.0006 (***) S&P500 0.6914 2.7998 0.0000 (***) 0.7244 4.1275 0.0011 (**) NASDAQ 0.8102 4.5032 0.0008 (***) 1.0211 6.2183 0.0022 (**) RUSSELL3000 0.7242 2.8058 0.0000 (***) 0.7451 4.1874 0.0009 (***) (***), (**), and (*) denote the significance at the 1%, 5%, and 10% levels, respectively.

IS HALLOWEEN EFFECT STILL OBSERVABLE IN THE UNITED STATES' EQUITY MARKETS?

Wal-Mart also declined to release its sales figures for Halloween items but said its Halloween strategy is to give customers what they want.