摘要：The Halloween effect presents a new puzzle to the efficient market hypothesis. Different explanations have been proposed, however few relate the Halloween effect to ‘news’. This paper, using the price gap as a proxy of news, investigates for the first time the relationship between news and Halloween effect. Empirical studies performed on a variety of stock index across different countries show that Halloween effect is highly related to price gap: Halloween effect disappears or decreases if price gap is controlled. These findings are interesting and important as they indicate that the Halloween effect, to some extent, is not a new puzzle but actually the efficient market in disguise.
