Holiday Effects During Quiet and Turbulent Times

7 Pages Posted: 23 Apr 2012

See all articles by Ramona Dumitriu

Ramona Dumitriu

Independent

Razvan Stefanescu

affiliation not provided to SSRN

Costel Nistor

University Dunarea De Jos Galati

Date Written: April 22, 2012

Abstract

The objective of the paper is to examine the possible holiday effects in the stock returns from a group of 28 countries. In our investigation we employ daily values of some representative indexes from January 2000 to December 2011. We split this sample in two sub-samples: before and during the global crisis. We identify the pre or the post holiday effects using regressions with dummy variables. The results indicate significant changes from the pre-crisis period to the crisis period. We find that such changes were more consistent in the case of emerging markets in comparison with the advanced financial markets.

Keywords: Calendar Anomalies, Global Crisis, Holiday Effect

JEL Classification: G02, G14, G15

Suggested Citation

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel, Holiday Effects During Quiet and Turbulent Times (April 22, 2012). Available at SSRN: https://ssrn.com/abstract=2043756 or http://dx.doi.org/10.2139/ssrn.2043756

Razvan Stefanescu

affiliation not provided to SSRN

Costel Nistor

University Dunarea De Jos Galati ( email )

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