In this paper, we conduct a comprehensive investigation of the Halloween effect evolution in the US stock market over its entire history. We employ various statistical techniques (average analysis, Student's t-test, ANOVA, and the Mann-Whitney test) and the trading simulation approach to analyse...

In this paper, we study the impact of Greek government-debt crisis events on European financial markets during the European sovereign debt crisis. We examine the effect of three categories of Greek government-debt crisis events in realized correlation and correlation jumps of government bonds,...