Stock returns behavior during holiday periods: evidence from six countries

Abstract

Purpose

The study is a test for the existence of an international stock market anomaly.

Design/methodology/approach

To test for holiday anomalies over a ten year period, the study examines six major international indices using dummy variable regressions with continuous data and simple regression analysis with discrete data points.

Findings

Evidence is presented both for the existence of an ex‐post holiday anomaly for all exchanges tested and for the international effect of the ex‐post holiday reaction on other exchanges. The results differ from all prior holiday anomaly studies in finding a significant holiday reaction following, not preceding, the holiday.

Practical implications

Future holiday periods may be used to capture profits from closed markets.

Orginality/value

The findings are of value to international portfolio managers and investors.

Citation

Picou, A. (2006), "Stock returns behavior during holiday periods: evidence from six countries", Managerial Finance, Vol. 32 No. 5, pp. 433-445. https://doi.org/10.1108/03074350610657445