The existence and historical development of the holiday effect on the Swedish stock market

ABSTRACT

This paper examines the holiday effect on the Swedish stock market over a 40-year period. We use a regression-based approach on daily price data to ascertain if the holiday effect is present on the Swedish stock market, analyse its historical development using 10-year subsamples, and assess whether its effects vary for different holidays. We find evidence for a positive post-holiday effect using the full sample period. When looking at the subsamples, however, we only find evidence for its existence in the 1990s and 2000s. We do not find evidence for the existence of a pre-holiday effect for any period. No holiday, considered by itself, shows evidence of a pre-holiday effect over the full sample period. For the holidays included, we only find evidence of a post-holiday effect after New Year’s.

KEYWORDS:

• Swedish stock market
• holiday effect
• stock market anomaly
• market efficiency

JEL CLASSIFICATION:

• G10
• G12

Acknowledgments

We thank Jarkko Peltomäki for his valuable feedback.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Data availability statement

Thomson Reuters Eikon is a terminal for checking and downloading financial data and there is no particular link that leads to the data used in our paper. However, we are able to provide the data upon request.

Notes

¹ Midsummer is excluded in this regression as it is celebrated on a Saturday

Additional information

Funding

This research did not receive funding.