The Halloween indicator is a variant of the stock market adage "Sell in May and go away," the belief that the period from November to April inclusive has significantly stronger growth on average than the other months.
Additional meaning of Halloween Indicator:
In such strategies, stocks are sold at the start of May and the proceeds held in cash (e.g. a money market fund); stocks are bought again in the autumn, typically around Halloween.
Most interesting about the effect is that it shows that stock market returns in many countries during the period May-October are systematically negative or lower than the short-term interest rate, which also goes against the efficient-market hypothesis. Stock market returns should not be predictably lower than the short term interest rate (risk free rate).