Pre-Holiday Effect, Large Trades and Small Investor Behaviour

27 Pages Posted: 12 Jun 2002

See all articles by Ángel Pardo Tornero

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics

Vicente Meneu

University of Valencia - Department of Financial Economics

Date Written: May 27, 2002

Abstract

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

Pardo Tornero, Ángel and Meneu Ferrer, Vicente, Pre-Holiday Effect, Large Trades and Small Investor Behaviour (May 27, 2002). Available at SSRN: https://ssrn.com/abstract=313999 or http://dx.doi.org/10.2139/ssrn.313999

Ángel Pardo Tornero (Contact Author)

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

Vicente Meneu Ferrer

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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