The Passing from the Classical to the Extended Form of the Holiday Effect on the Euronext
14 Pages Posted: 27 Aug 2020 Last revised: 1 Sep 2020
Date Written: July 21, 2020
In some circumstances, the classical form of the Holiday Effect, consisting in abnormal returns that occur one trading day before and one trading day after a public holiday, could be replaced by an extended form, in which abnormal returns are found in an enlarged time interval. This paper explores the presence of the classical and the extended form of the Holiday Effect on four indexes of the Euronext capital market: AEX, CAC 40, ISEQ 20 and PSI 20. We perform this investigation for two periods: January 2000 - December 2011 and January 2012 - June 2020. For the first period the results suggest that classical form of the Holiday Effect predominated. Instead, for the second period we found abnormal returns in enlarged time intervals.
Keywords: Extended Forms of the Calendar Anomalies, Holiday Effect, Euronext Capital Markets
JEL Classification: G14, G40, G41
Suggested Citation: Suggested Citation