Pre-Holiday Effect, Large Trades and Small Investor Behaviour
27 Pages Posted: 12 Jun 2002
Date Written: May 27, 2002
The purpose of this paper is to investigate the existence of a pre-holiday effect in the most important stocks of the Spanish Stock Exchange which are also traded in both the New York Stock Exchange and the Frankfurt Stock Exchange. Our results show high abnormal returns on the trading day prior to holidays. Several tests prove that the Spanish holiday effect is not due to market calendars in the USA or Germany. Also, we prove that the pre-holiday effect is not a manifestation of other calendar anomalies. The study of different liquidity measures suggests that the pre-holiday effect could be due to the reluctance of small investors to buy on pre-holidays, which produces an increase in the average size of bid orders. The results of this paper are of interest to the institutional investor since this anomaly could have been exploited in some individual stocks.
Keywords: holiday effect, stocks, order size, small investor behaviour
JEL Classification: G12, G14
Suggested Citation: Suggested Citation
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