I think it depends on several factors like if how gross or scary the horror movie is. Also if the person watching is someone who got scared easily or someone who will even dream of the movie.
We differ on various ways, a movie that is scary for you might not be scary for others. So, the effect of those horror movies varies depends on the person.
The age can be a factor too. Kids might be affected by those movies that is why parental guidance is needed. Should not watch if restricted or only for adults.