Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou index

•This research tests Halloween and January effects by a new approach: the Shiryaev-Zhou index.•The Halloween effect is significant in Hong Kong and U.S.'s markets only.•The January effect is significant in Hong Kong's market only.•The Halloween and January effects may weaken during turbulent periods.•The Halloween and January effects may weaken since their scholarly documentation.

Various calendar effects of stock markets were widely studied in the past. However, most of the previous studies use traditional methods such as regression. Furthermore, only a few of them studied Asian countries. This study investigates calendar effects, in particular, Halloween and January effects, on securitized real estate indices of eight economies (five of which are Asian economies): Hong Kong, China, Japan, Thailand, Malaysia, U.S., Canada, Germany, during the period 1996–2013, by a new approach: the Shiryaev-Zhou index. The results show that the Halloween effect is significant in Hong Kong and U.S.’s markets, but insignificant in other markets, while the January effect is significant in Hong Kong's market only. There are two possible reasons for these results. Firstly, the Halloween and January effects may weaken during turbulent periods. Secondly, the Halloween and January effects may have lost their predictive power since the publication of literature which made them famous.