{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T04:56:55Z","timestamp":1771563415622,"version":"3.50.1"},"reference-count":39,"publisher":"MDPI AG","issue":"1","license":[{"start":{"date-parts":[[2023,1,5]],"date-time":"2023-01-05T00:00:00Z","timestamp":1672876800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Portuguese public funds through FCT\u2014Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia, I.P.","award":["UIDB\/04105\/2020"],"award-info":[{"award-number":["UIDB\/04105\/2020"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["IJFS"],"abstract":"<jats:p>The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers about 120 years of Portuguese stock market history. We combine subsample analysis with rolling window analysis to show that the performance of the anomaly has varied in an adaptive fashion over time. The anomaly existed during the first four decades of the 20th century. Afterward, it vanished for 60 years, reappearing only at the beginning of the 21st century. However, in the first two decades of the new century, the effect seems to be a mere reflection of the excess return generated in January. Overall, the time-varying performance of the Halloween effect supports the adaptive market hypothesis for the Portuguese stock market.<\/jats:p>","DOI":"10.3390\/ijfs11010013","type":"journal-article","created":{"date-parts":[[2023,1,5]],"date-time":"2023-01-05T06:11:51Z","timestamp":1672899111000},"page":"13","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market"],"prefix":"10.3390","volume":"11","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-5896-9648","authenticated-orcid":false,"given":"J\u00falio","family":"Lob\u00e3o","sequence":"first","affiliation":[{"name":"Portugal School of Economics and Management and CEF.UP, University of Porto, Rua Dr. Roberto Frias, 4200-464 Porto, Portugal"}]},{"given":"Ana C.","family":"Costa","sequence":"additional","affiliation":[{"name":"School of Economics and Management, University of Porto, Rua Dr. Roberto Frias, 4200-464 Porto, Portugal"}]}],"member":"1968","published-online":{"date-parts":[[2023,1,5]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1080\/01629778.2021.1990094","article-title":"Behavior of calendar anomalies and the adaptive market hypothesis: Evidence from the Baltic stock markets","volume":"53","author":"Alekneviciene","year":"2022","journal-title":"Journal of Baltic Studies"},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"190","DOI":"10.1016\/j.intfin.2017.10.001","article-title":"Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices","volume":"51","author":"Mirzaei","year":"2017","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"key":"ref_3","first-page":"94","article-title":"\u201cSell in May and Go Away\u201d Just Won\u2019t Go Away","volume":"69","author":"Andrade","year":"2013","journal-title":"CFA Institute Magazine"},{"key":"ref_4","doi-asserted-by":"crossref","first-page":"1457","DOI":"10.1080\/09603107.2013.831168","article-title":"Can you capitalize on the turn-of-the-year effect?","volume":"23","author":"Beyer","year":"2013","journal-title":"Applied Financial Economics"},{"key":"ref_5","doi-asserted-by":"crossref","first-page":"1618","DOI":"10.1257\/000282802762024683","article-title":"The Halloween Indicator, \u201cSell in May and Go Away\u201d: Another Puzzle","volume":"92","author":"Bouman","year":"2002","journal-title":"The American Economic Review"},{"key":"ref_6","doi-asserted-by":"crossref","first-page":"1731","DOI":"10.1111\/j.1540-6261.1992.tb04681.x","article-title":"Simple Technical Trading Rules and the Stochastic Properties of Stock Returns","volume":"47","author":"Brock","year":"1992","journal-title":"The Journal of Finance"},{"key":"ref_7","doi-asserted-by":"crossref","first-page":"1559","DOI":"10.1016\/j.jbankfin.2004.06.028","article-title":"Stock market returns: A note on temperature anomaly","volume":"29","author":"Cao","year":"2005","journal-title":"Journal of Banking & Finance"},{"key":"ref_8","doi-asserted-by":"crossref","first-page":"101","DOI":"10.1016\/j.ruje.2017.02.007","article-title":"Calendar anomalies in the Russian stock market","volume":"3","author":"Caporale","year":"2017","journal-title":"Russian Journal of Economics"},{"key":"ref_9","doi-asserted-by":"crossref","first-page":"489","DOI":"10.1016\/j.ribaf.2016.01.003","article-title":"The Halloween effect in European sectors","volume":"37","author":"Carrazedo","year":"2016","journal-title":"Research in International Business and Finance"},{"key":"ref_10","first-page":"326","article-title":"Estimating the Portuguese average cost of capital","volume":"37","author":"Mata","year":"2012","journal-title":"Historical Social Research\/Historische Sozialforschung"},{"key":"ref_11","first-page":"93","article-title":"A fresh look at seasonal anomalies: An international perspective","volume":"10","author":"Darrat","year":"2011","journal-title":"International Journal of Business & Economics"},{"key":"ref_12","doi-asserted-by":"crossref","first-page":"112","DOI":"10.1016\/j.frl.2013.10.001","article-title":"Are stock markets really so inefficient? 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