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

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: July 21, 2020

Abstract

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

Stefanescu, Razvan and Dumitriu, Ramona, The Passing from the Classical to the Extended Form of the Holiday Effect on the Euronext (July 21, 2020). Available at SSRN: https://ssrn.com/abstract=3657040 or http://dx.doi.org/10.2139/ssrn.3657040

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domneasc─â, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

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