Abstract
Various calendar effects of stock markets were widely studied in the past. However, most of the previous studies use traditional methods such as regression. Furthermore, only a few of them studied Asian countries. This study investigates calendar effects, in particular, Halloween and January effects, on securitized real estate indices of eight economies (five of which are Asian economies): Hong Kong, China, Japan, Thailand, Malaysia, U.S., Canada, Germany, during the period 1996-2013, by a new approach: the Shiryaev-Zhou index. The results show that the Halloween effect is significant in Hong Kong and U.S.'s markets, but insignificant in other markets, while the January effect is significant in Hong Kong's market only. There are two possible reasons for these results. Firstly, the Halloween and January effects may weaken during turbulent periods. Secondly, the Halloween and January effects may have lost their predictive power since the publication of literature which made them famous.
Original language | English |
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Pages (from-to) | 38-45 |
Number of pages | 8 |
Journal | Habitat International |
Volume | 48 |
DOIs | |
Publication status | Published - 1 Aug 2015 |
Keywords
- Halloween effect
- January effect
- Securitized real estate index
- Shiryaev-Zhou index
- Trading strategy
ASJC Scopus subject areas
- Urban Studies