The pan-European holiday effect

Abstract

The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a panEuropean calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre-and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.Keywords: pre-holiday effect; post-holiday effect; stock index futures; bootstrap; Monte Carlo JEL Classification: G12; G14 La convergencia hacia un único bloque Europeo en el contexto de los mercados financieros ha provocado que los principales mercados de acciones de la zona euro hayan adoptado un calendario de negociación común. Dicho calendario permite estudiar si el efecto festivo observado en las bolsas es una anomalía pan-Europea o es un efecto específico de cada país. Mediante la aplicación de diferentes técnicas de simulación, se ha constatado la existencia de rendimientos positivos pre-y postfestivos que son significativos tanto económica como estadísticamente. Además, se ha demostrado analíticamente que dichos rendimientos no están relacionados con niveles de volatilidad anormalmente altos, pero sí pueden explicarse por que los inversores prefieren evitar vender acciones alrededor de los días considerados como festivos dentro de la zona euro.

Stock Performance Prior to Federal Holidays

“…The days leading up to and following the Federal holidays have lower volatility and a higher return mean than days during a week without a holiday. This is from the higher activity on the market from the traders who are unloading their shares and those who are buying shares (Carchano & Pardo, 2015). The short-term and long-term traders are the reasons for this.…”

Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations

“…Literature on the stock market is inundated with various forms of calendar anomalies studied across economies—turn-of-the-year effect, month-of-the-year effect, turn-of-the-month effect, day-of-the-week effect, holiday effect, Halloween effect, Friday the 13th effect, etc. (Auer & Rottmann, 2014; Carchano & Pardo, 2015; Jacobsen & Visaltanachoti, 2009; Kayacetin & Lekpek, 2016; Ng & Wang, 2004; Raj & Kumari, 2006; Singh, 2014). Seasonal patterns have been reported in other markets and series as well—national businesses and economic series (Cleveland & Devlin, 1980), petrol prices (Mitchell, Ong, & Izan, 2000), money market (Washer, Nippani, & Wingender, 2011), real estate investment trusts (Khaled & Keef, 2012), bonds (Compton, Kunkel, & Kuhlemeyer, 2013), currency market (Kumar & Pathak, 2016) and so on.…”

“…In addition to the diverse findings of researchers in the past, the methodologies employed for these findings are equally diverse. While the ordinary least square (OLS)-based dummy variable regression equation was initially the conventional methodology in the literature on anomalies (Arsad & Coutts, 1997), several methodologies have been tested over time—the analysis of variance (ANOVA) (Mittal & Jain, 2009; Rogalski, 1984), the autoregressive conditionally heteroskedastic (ARCH) model and its variants (Abalala & Sollis, 2015; Akyol, 2011; Baker, Rahman, & Saadi, 2008; Jaisinghani, 2016; Kayacetin & Lekpek, 2016; Zhang & Li, 2006), event study (Bialkowski, Etebari, & Wisniewski, 2012), non-parametric tests (Carchano & Pardo, 2015; Elango & Macki, 2008; Mitchell et al, 2000), stochastic dominance (Al-Khazali, 2008) and so on. Zhang and Li (2006) reported that calendar anomaly was subject to sample selection and the methodology utilised.…”

Altin, Ham Petrol, GVZ Ve Ovx i̇n Türk Fi̇nansal Pi̇yasalarina Si̇metri̇k Ve Asi̇metri̇k Etki̇leri̇

“…Bu nedenle, nedenselliğin test edilmesinden önce serilerin, mevsimsel etkilerden arındırılması önerilmektedir. Yapılan çalışmalara göre, finansal serilerde gözlemlenen mevsimsel etkilerin genellikle, "Haftanın Günü Etkisi" ve "Yılın Ayı Etkisi" olduğundan bahsedilmektedir (Brusa & Liu, 2004;Ng & Wang, 2004;Jefferis & Smith, 2005;Raj & Kumari, 2006;Chukwuogor, 2007;Alagidede, 2008;Choudhary & Choudhary, 2008;Patel, 2008;Jacobsen & Visaltanachoti, 2009;Latif vd., 2011;Ulussever vd., 2011;Berument & Dogan, 2012;Hsieh & Chen, 2012;Mbululu & Chipeta, 2012;Kalidas vd., 2013;Plimsoll vd., 2013;Dicle & Levendis, 2014;Singh, 2014;Auer & Rottmann, 2014;Archana vd., 2014;Carchano & Pardo, 2015;Kayacetin & Lekpek, 2016;Kumar & Jawa, 2016;Gupta, 2017;Kaushik, 2017;Sing & Yadav, 2019;v.b.). Bu nedenle, çalışmada nedensellikten önce getiri serilerindeki ilk olarak "Haftanın Günü Etkisi" kukla değişkenler yardımı ile araştırılmıştır.…”