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Applied Economics Letters Volume 5, 1998 - Issue 4
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Original Articles

The persistent holiday effect: additional evidence

Paul Brockman
&
David Michayluk
Pages 205-209 | Published online: 05 Oct 2010

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Vilija Aleknevičienė, Vaida Klasauskaitė & Eglė Aleknevičiūtė. (2022) Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets. Journal of Baltic Studies 53:2, pages 187-210.
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PauloM. Gama & ElisabeteF. S. Vieira. (2013) Another look at the holiday effect. Applied Financial Economics 23:20, pages 1623-1633.
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GeorgeJ. Marrett & AndrewC. Worthington. (2009) An empirical note on the holiday effect in the Australian stock market, 1996–2006. Applied Economics Letters 16:17, pages 1769-1772.
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Wessel Marquering, Johan Nisser & Toni Valla. (2006) Disappearing anomalies: a dynamic analysis of the persistence of anomalies. Applied Financial Economics 16:4, pages 291-302.
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Brian M. Lucey. (2005) Are local or international influences responsible for the pre-holiday behaviour of Irish equities?. Applied Financial Economics 15:6, pages 381-389.
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Brian M. Lucey & Angel Pardo . (2005) Why investors should not be cautious about the academic approach to testing for stock market anomalies. Applied Financial Economics 15:3, pages 165-171.
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Stephen P. Keef & Melvin L. Roush . (2005) Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index. Applied Financial Economics 15:2, pages 107-119.
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Glenn Boyle, Andrew Hagan, R. Seini O'Connor & Nick Whitwell. (2004) Emotion, fear and superstition in the New Zealand stockmarket. New Zealand Economic Papers 38:1, pages 65-85.
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Articles from other publishers (38)

Lucy F. Ackert & George Athanassakos. (2021) Gamesmanship and Seasonality in U.S. Stock Returns. Journal of Risk and Financial Management 14:5, pages 206.
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Khanh Pham Dan, Thanh Dat Pham & Nhuong Bui Huy. (2020) A Re-examination of the Holiday Effect in Stock Returns: The Case of Vietnam. Edelweiss Applied Science and Technology, pages 51-54.
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Mahmoud Qadan, David Y. Aharon & Gil Cohen. (2020) Everybody likes shopping, including the US capital market. Physica A: Statistical Mechanics and its Applications 551, pages 124173.
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Dinesh Jaisinghani, Muskan Kaur & Mohd Merajuddin Inamdar. (2019) Analyzing seasonal anomalies for Israel: evidence from pre- and post-global financial crisis. Managerial Finance 46:3, pages 435-450.
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Mahmoud Qadan & David Y. Aharon. (2019) How much happiness can we find in the U.S. fear Index?. Finance Research Letters 30, pages 246-258.
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Andrey Kudryavtsev. (2018) Holiday effect on stock price reactions to analyst recommendation revisions. Journal of Asset Management 19:7, pages 507-521.
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Bogdan Batrinca, Christian W. Hesse & Philip C. Treleaven. (2018) European trading volumes on cross-market holidays. International Journal of Finance & Economics 23:4, pages 675-704.
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Meher Shiva Tadepalli & Ravi Kumar Jain. (2018) Persistence of calendar anomalies: insights and perspectives from literature. American Journal of Business 33:1/2, pages 18-60.
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Mahmoud Qadan & Doron Kliger. (2016) The short trading day anomaly. Journal of Empirical Finance 38, pages 62-80.
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Tian Yuan, Rakesh Gupta & Robert J. Bianchi. (2015) The Pre-Holiday Effect in China: Abnormal Returns or Compensation for Risk?. Review of Pacific Basin Financial Markets and Policies 18:03, pages 1550014.
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Benito Umaña Hermosilla, Juan Cabas Monje, Juan Rodríguez Navarrete & Miguel Villablanca Fuentes. (2015) Variables explicativas del comportamiento del inversor de multifondos. Un análisis desde la perspectiva de los inversores en el sistema de pensiones chileno. Estudios Gerenciales 31:135, pages 183-190.
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Marcus Schulmerich, Yves-Michel Leporcher & Ching-Hwa EuMarcus Schulmerich, Yves-Michel Leporcher & Ching-Hwa Eu. 2015. Applied Asset and Risk Management. Applied Asset and Risk Management 175 244 .
Jong-Bom Chay & 최은희. (2014) The Relation between Time Decay and Trading Activities in the Korean ELW Market. Korean Journal of Financial Engineering 13:3, pages 171-190.
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Bin Li & Steven C. H. Hoi. (2014) Online portfolio selection. ACM Computing Surveys 46:3, pages 1-36.
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Taufeeque Ahmad Siddiqui & Isha Narula. (2013) Market Efficiency and Anomalies: Evidences from S&P CNX NIFTY. Vision: The Journal of Business Perspective 17:3, pages 233-245.
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Vesna Karadzic & Tamara Backovic-Vulic. (2011) The Montenegrin capital market: Calendar anomalies. Ekonomski anali 56:191, pages 107-121.
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Andrew C. Worthington. (2008) The decline of calendar seasonality in the Australian stock exchange, 1958–2005. Annals of Finance 6:3, pages 421-433.
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ANDREW C. WORTHINGTON. (2010) NATIONAL EXUBERANCE: A NOTE ON THE MELBOURNE CUP EFFECT IN AUSTRALIAN STOCK RETURNS. Economic Papers: A journal of applied economics and policy 26:2, pages 170-179.
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Fred J. DeMicco, Yan Lin, Ling Liu, L?dia Rejt?Srikanth Beldona & Diccon Bancroft. (2016) The Effect of Holidays on Hotel Daily Revenue. Journal of Hospitality & Tourism Research 30:1, pages 117-133.
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Leighton Vaughan Williams. 2009. Information Efficiency in Financial and Betting Markets. Information Efficiency in Financial and Betting Markets 5 83 .
Vicente Meneu & Angel Pardo. (2004) Pre-holiday effect, large trades and small investor behaviour. Journal of Empirical Finance 11:2, pages 231-246.
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Cemal Berk Oğuzsoy & Sibel Güven. (2016) Holy Days Effect on Istanbul Stock Exchange. Journal of Emerging Market Finance 3:1, pages 63-75.
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Brian M. Lucey. (2000) Friday the 13th and the philosophical basis of financial economics. Journal of Economics and Finance 24:3, pages 294-301.
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Brian M. Lucey. (2005) Are Local or International Influences Responsible for the Pre-Holiday Behavior of Irish Equities?. SSRN Electronic Journal.
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Ángel Pardo Tornero & Brian M. Lucey. (2003) Why Investors Should not be Cautious about the Academic Approach to Testing for Stock Market Anomalies. SSRN Electronic Journal.
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Glenn W. Boyle, Andrew Hagan, Rebecca O'Connor & Nick Whitwell. (2003) Emotion, Fear and Superstition in the New Zealand Stockmarket. SSRN Electronic Journal.
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Razvan Stefanescu & Ramona Dumitriu. (2018) Changes in the Stocks Prices Behavior Before and After the Public Holidays: Case of Bucharest Stock Exchange. SSRN Electronic Journal.
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Ángel Pardo Tornero & Vicente Meneu. (2002) Pre-Holiday Effect, Large Trades and Small Investor Behaviour. SSRN Electronic Journal.
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Ramona Dumitriu & Razvan Stefanescu. (2017) Turn-of-the-Year Effects on Bucharest Stock Exchange. SSRN Electronic Journal.
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Rizwan Ahmed & Jingsi Leng. (2016) Seasonality Effects through ARCH and GARCH Model: Evidence from Shanghai Stock Market (China). SSRN Electronic Journal.
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Brian M. Lucey. (2001) Preholiday Behaviour of Irish Stock Exchange Indices. SSRN Electronic Journal.
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Laura Birg & Anna Goeddeke. (2014) Christmas Economics - A Sleigh Ride. SSRN Electronic Journal.
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Ramona Dumitriu & Razvan Stefanescu. (2013) Efecte Gone Fishinn La Bursa De Valori Din Bucureeti (Gone Fishinn Effects on the Bucharest Stock Exchange). SSRN Electronic Journal.
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Razvan Stefanescu, Ramona Dumitriu & Costel Nistor. (2012) Prolonged Holiday Effects on Romanian Capital Market before and After the Adhesion to EU. SSRN Electronic Journal.
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Ramona Dumitriu, Razvan Stefanescu & Costel Nistor. (2012) Holiday Effects During Quiet and Turbulent Times. SSRN Electronic Journal.
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Ramona Dumitriu, Razvan Stefanescu & Costel Nistor. (2011) Holiday Effects on the Romanian Stock Market. SSRN Electronic Journal.
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Mitesh Mistry, Andrew C. Worthington, Dionigi Gerace & Chandra Gulati. (2008) The Impact of Trading-Restricted, Business Days and Trading, Non-Business Days on Australian Small-Cap, Large-Cap and Market Returns. SSRN Electronic Journal.
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Andrew C. Worthington. (2008) The Decline of Calendar Seasonality in the Australian Stock Exchange, 1958-2005. SSRN Electronic Journal.
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