It had been thought that the strategy was only beneficial on Northern stock markets, but Jacobsen and Zhang's research has shown that it works worldwide - and the effect is stronger every year.
Even in New Zealand, returns are lower between April and October than they are between November and April.
Zhang said: "We analysed 55,425 monthly observations over 319 years, and the average difference between November-April and May-October returns is 6.25 per cent over the past 50 years.
"A Halloween strategy beats the market more than 80 per cent of the time over a five-year horizon, and this increases to 90 per cent if you expand the horizon to 10 years."
The study showed that investors using the Halloween strategy, rather than a buy-and- hold strategy, would have returns about three times higher than the market average.
For New Zealand stock market investors between October 1998 and April 2011, a buy-and-hold strategy resulted in a 1.6 per cent return. A Halloween strategy netted a 5.78 per cent return. Zhang said Jacobsen invested following this strategy but she had not been tempted to follow his example yet.
"You can't say the effect will definitely persist, even though the trend suggests it is increasing in strength.
"If we identified a really good economic reason underlying the anomaly, then I would be confident to invest my money using the strategy."
She said normally when people became aware of an anomaly such as this, and started following it with their investments, it disappeared.
But this effect is getting stronger. It was possible that the peak holiday periods were behind the effect, she said. In the Northern Hemisphere, almost all holidays are taken in summer. But in the Southern Hemisphere the peak holiday period is in the middle of winter, when we escape to warmer climates.
But the internet should mitigate some of that effect.
Zhang said she was looking at other possible reasons for the effect. "It could be that people become depressed during winter and that filters down."
