Holiday Effects During Quiet and Turbulent Times

7 Pages Posted: 23 Apr 2012

See all articles by Ramona Dumitriu

Ramona Dumitriu

University Dunarea De Jos Galati

Razvan Stefanescu

University Dunarea de Jos Galati

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

Ramona Dumitriu (Contact Author)

University Dunarea De Jos Galati ( email )

Romania

Razvan Stefanescu

University Dunarea de Jos Galati ( email )

59-61 Nicolae Bãlcescu Street
Braila, Galati 800001
Romania

Costel Nistor

University Dunarea De Jos Galati ( email )

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