Should Investors Be Fearful of the Halloween Effect?

This study is to determine if a reported seasonal anomaly referred to as the Halloween Effect provides a profit making opportunity for investors. The Halloween Effect hypothesis recommends owning stocks for the period from November through April with the other months avoided, practically making it. a Sell-in-May strategy. Studies by Bouman and Jacobsen (2002), Witte (2010), and Swargerman and Novakovic (2010) supported existence of the Halloween Effect. However, this study indicates that stock markets in the United States do not allow exploitable opportunities related to the Halloween Effect, so the stock markets are efficient, dismissing the alleged seasonal anomaly