The Pan-European Holiday Effect

REFC - Spanish Journal of Finance and Accounting, Forthcoming

26 Pages Posted: 30 Jan 2015

See all articles by Oscar Carchano

Oscar Carchano

University of Valencia - Department of Financial Economics

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics

Date Written: January 28, 2015

Abstract

The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.

Keywords: Pre-holiday effect, post-holiday effect, stock index futures, bootstrap, Monte Carlo

JEL Classification: G12, G14

Suggested Citation

Carchano, Oscar and Pardo Tornero, Ángel, The Pan-European Holiday Effect (January 28, 2015). REFC - Spanish Journal of Finance and Accounting, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2556949

Oscar Carchano (Contact Author)

University of Valencia - Department of Financial Economics ( email )

Avda. de los Naranjos s/n
Valencia, Valencia E-46022
Spain

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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