Holiday Spirits and Market Mood: Trading Patterns Around Public Holidays on the Sydney Stock Exchange 1901-1950

Fleming, Grant; Liu, Zhangxin (Frank); Merrett, David; Ville, Simon

doi:10.2139/ssrn.4504048

Download This Paper

Open PDF in Browser

Add Paper to My Library

Holiday Spirits and Market Mood: Trading Patterns Around Public Holidays on the Sydney Stock Exchange 1901-1950

20 Pages Posted: 8 Jul 2023

See all articles by Grant Fleming

Zhangxin (Frank) Liu

The University of Western Australia - Department of Accounting and Finance

Simon Ville

University of Wollongong - School of Accounting, Economics & Finance

Abstract

We examine trading patterns around public holidays on the Sydney Stock Exchange between 1901 and 1950 using a new dataset constructed from handwritten stock and share lists recording buy and sell bids and sales prices. We find that trading volume dropped significantly pre-public holiday, supporting the investor inattention hypothesis. Less evidence exists for a post-holiday trading surge. The pre-holiday effect is consistent throughout the period, applicable only to regular annual holidays and not irregular events like royal visits or military incidents.

Keywords: Holiday effect, Stock market anomaly, market efficiency, Sydney Stock Exchange

Suggested Citation: Suggested Citation

Fleming, Grant Alan and Liu, Zhangxin (Frank) and Merrett, David and Ville, Simon, Holiday Spirits and Market Mood: Trading Patterns Around Public Holidays on the Sydney Stock Exchange 1901-1950. Available at SSRN: https://ssrn.com/abstract=4504048 or http://dx.doi.org/10.2139/ssrn.4504048