Holiday Effects During Quiet and Turbulent Times

Abstract

The objective of the paper is to examine the possible holiday effects in the stock returns from a group of 28 countries. In our investigation we employ daily values of some representative indexes from January 2000 to December 2011. We split this sample in two sub-samples: before and during the global crisis. We identify the pre or the post holiday effects using regressions with dummy variables. The results indicate significant changes from the pre-crisis period to the crisis period. We find that such changes were more consistent in the case of emerging markets in comparison with the advanced financial markets.

Keywords: Calendar Anomalies, Global Crisis, Holiday Effect

JEL Classification: G02, G14, G15