Holiday Closings and Security Returns

Abstract

This paper documents unusual return patterns for securities around holiday closings. Returns for trading days immediately before holiday closings (pre-holiday trading days) are unusually high regardless of weekday, year, or holiday closing. Returns for trading days following holiday closings (post-holiday trading days) are high only if they occur at the end of the week. Tests indicate that pre-holiday returns do not respond to a closing effect, and that the post-holiday returns do not result from a time-diffusion process. Holiday trading day returns question the tax-loss selling explanation of the turn-of-the-year effect and display a significant small firm effect outside of January.

Cross-cultural differences in seasonality

“…Cadsby and Ratner (1992), Kim and Park (1994) and Chan et al (1996)]. Rogalski (1984) and Pettengill (1989) offer what they found to be an inverse relationship between firm size and the holiday effect as plausible explanation for this market anomaly, while Kartono and White (1994) suggest the level of economic activity to be the determinant of the magnitude of the holiday effect.…”

Pre-holiday effect, large trades and small investor behaviour

“…Liano et al (1992) find evidence of a pre-holiday effect in several over-the-counter stock markets. Pettengill (1989) provides some evidence of abnormal returns on pre-holidays in both large and small firms grouped into portfolios, and Kim and the pre-holiday effect. This reluctance to buy produces an increase in the average size of bid orders on pre-holidays.…”

Er samband á milli daga, mánaða, hátíða og ávöxtunar á íslenskum hlutabréfamarkaði?

“…Marktaekt var tölfraeðilega hjá öllum staerðum fyrirtaekja að ávöxtun var óvenjuhá fyrir hátíðir. Hins vegar var ekki marktaekt að ávöxtun vaeri óvenjuleg daginn eftir lokun vegna hátíða (Pettengill, 1989).…”