Holiday Effects During Quiet and Turbulent Times
7 Pages Posted: 23 Apr 2012
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: Suggested Citation
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