An Analysis of Stock Market Anomalies at the Austrian Exchange

Over the past decades financial economists have published numerous stock return patterns related to calendar time. The list encompasses the January effect Monday effect turn-of-the-month-effect holiday effect and Halloween effect to name just a few. ‘The Economist’dismissed any trading rule which is not strong enough to out-perform a Buy & Hold strategy on a risk-adjusted basis to be economically insignifi-cant. Bouman and Jacobsen (2002) asthe poisoners for a statistical proven Hallow-een effect with an analysis of 37 markets found out that 36 of them experienced sig-nificant November-April (winter period) returns as opposed to May-October (sum-mer period) returns. Their argumentation stated that the winter period outperforms the summer period on a regular bases. They also introduced a Halloween strategy suggestingan investment into the winter periods andwith the proceeds to invest inrisk free options (government bonds) in summer periods whereby this approach would considerable beat the Buy & Hold strategy.This paper examines the robust-ness of the Halloween effect together with the Halloween strategy set against the Buy & Hold strategy for the Austrian stock exchange.