Market efficiency in the Greek stock exchange: the halloween effect

Κώστας Συριόπουλος, Παναγιώτης Γιαννόπουλος


This paper examines the robustness of the Greek Halloween puzzle to alternative model specifications and time periods. The Halloween effect disappears after adjustments for the impact of outliers, and other model specifications. This paper argues against the existence of Sell in May effect in the ASE and its sectors.


Stock exchange; Greece; Price of securities

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η δικτυακή πύλη της ευρωπαϊκής ένωσης ψηφιακή ελλάδα ΕΣΠΑ 2007-2013