Holiday Effect on Stock Market Return: Evidence from Dhaka Stock Exchange (DSE)

8 Pages Posted: 17 Oct 2018

See all articles by Hashibul Hassan

Hashibul Hassan

Jagannath University - Department of Finance; Monash University - Department of Economics

Anik Sarker

Jagannath University - Department of Finance, Students

Date Written: September 10, 2018

Abstract

The purpose of this paper is to examine the pre- and post-holiday returns the Dhaka Stock Exchange, leading stock exchange of Bangladesh. To conduct the study index value of two market indices have been collected, those are DSE general index (DSEX) and DSE 30 index (DS30), from the period of January 2013 to December 2017. On the other side, six fixed national holidays and two variable (religious) national holidays of Bangladesh are taken into consideration. The holidays are Shaheed (Martyr) day (21st February), Birthday of the father of the nation (17th March), Independence Day (26th March), Bengali New Year (14th April), National Mourning Day (15th August), Victory day (16th December) and two variable holidays are Eid-ul-Fitr and Eid-ul-Adha. The Wilcoxon signed rank test for a non-parametric statistical hypothesis test is used to compare the two sets of sample (pre- and post-holiday) of both DSEX and DS30 to identify their means rank difference. From the result, it is found that there are significant differences exist between pre- and post-holiday returns over the sample period, which also indicates that the DSE returns do not follow a random walk.

Keywords: Dhaka Stock Exchange (DSE); Efficient Market Hypothesis (EMH); Holiday Effect; Wilcoxon signed rank test

JEL Classification: G4, G12, G14

Suggested Citation

Hassan, Md. Hashibul and Sarker, Anik, Holiday Effect on Stock Market Return: Evidence from Dhaka Stock Exchange (DSE) (September 10, 2018). Available at SSRN: https://ssrn.com/abstract=3251242 or http://dx.doi.org/10.2139/ssrn.3251242

Md. Hashibul Hassan (Contact Author)

Jagannath University - Department of Finance ( email )

Dhaka
Bangladesh

HOME PAGE: http://www.jnu.ac.bd

Monash University - Department of Economics ( email )

Australia

Anik Sarker

Jagannath University - Department of Finance, Students ( email )

Dhaka
Bangladesh

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