The Pan-European Holiday Effect
REFC - Spanish Journal of Finance and Accounting, Forthcoming
26 Pages Posted: 30 Jan 2015
Date Written: January 28, 2015
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: Suggested Citation