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

Figures & data

Table 1. Descriptive statistics for AFGX returns (%) during 1980–2019.

Variable(s)	Obs.	Mean	Std.Dev.	Min	Max
Full Sample Return	10,019	0.055	1.236	−8.738	10.309
Pre-Holiday Return	231	0.149	0.948	−3.832	3.246
Post-Holiday Return	190	0.279	1.408	−4.468	4.903

Table 2. Pre-and post-holiday effect for AFGX (%) during 1980–2019.

Variable(s)	Coefficient	Obs.	(St. Error)	p-value
Pre-Holiday	0.057	231	(0.061)	0.349
Post-Holiday	0.181***	190	(0.062)	0.003
Constant	0.090***		(0.009)	0.000
L1.Arch	0.111***		(0.008)	0.000
L1.Garch	0.884***		(0.007)	0.000

Table 3. Pre-and post-holiday effect for AFGX (%) during 1980–1989.

Variable(s)	Coefficient	Obs.	(St. Error)	p-value
Pre-Holiday	0.089	57	(0.117)	0.447
Post-Holiday	0.035	44	(0.116)	0.761
Constant	0.109***		(0.015)	0.000
L1.Arch	0.133***		(0.017)	0.000
L1.Garch	0.853***		(0.016)	0.000

Table 4. Pre-and post-holiday effect for AFGX (%) during 1990–1999.

Variable(s)	Coefficient	Obs.	(St. Error)	p-value
Pre-Holiday	0.126	61	(0.142)	0.375
Post-Holiday	0.417***	47	(0.130)	0.001
Constant	0.083***		(0.019)	0.000
L1.Arch	0.120***		(0.018)	0.000
L1.Garch	0.851***		(0.020)	0.000

Table 5. Pre-and post-holiday effect for AFGX (%) during 2000–2009.

Variable(s)	Coefficient	Obs.	(St. Error)	p-value
Pre-Holiday	0.004	55	(0.144)	0.980
Post-Holiday	0.326**	49	(0.162)	0.044
Constant	0.086***		(0.022)	0.000
L1.Arch	0.073***		(0.011)	0.000
L1.Garch	0.926***		(0.010)	0.000

Table 6. Pre-and post-holiday effect for AFGX (%) during 2010–2019.

Variable(s)	Coefficient	Obs.	(St. Error)	p-value
Pre-Holiday	−0.041	58	(0.104)	0.689
Post-Holiday	0.073	50	(0.111)	0.507
Constant	0.079***		(0.017)	0.000
L1.Arch	0.111***		(0.016)	0.000
L1.Garch	0.871***		(0.017)	0.000

Table 7. Pre-holiday effect individual holidays for AFGX (%) during 1980–2019.

Variable(s)	Coefficient	Obs.	(St. Error)	p-value
Pre-Easter	0.163	40	(0.182)	0.370
Pre-NewYe	0.034	29	(0.152)	0.821
Pre-Epiphany	−0.274	26	(0.175)	0.117
Pre-Midsum	−0.064	40	(0.121)	0.597
Pre-Walpurg	−0.083	28	(0.182)	0.648
Pre-Christm	0.253	29	(0.215)	0.240
Pre-Ascens	−0.005	40	(0.168)	0.975
Constant	0.095***		(0.009)	0.000
L1.Arch	0.111***		(0.007)	0.000
L1.Garch	0.884***		(0.007)	0.000

Table 8. Post-holiday effect individual holidays for AFGX (%) during 1980–2019.

Variable(s)	Coefficient	Obs.	(St. Error)	p-value
Post-Easter	0.134	40	(0.132)	0.311
Post-NewYe	0.278*	28	(0.145)	0.056
Post-Epiph	0.151	28	(0.161)	0.348
Post-Walpurg	0.177	27	(0.147)	0.229
Post-Christm	0.211	28	(0.181)	0.244
Post-Ascens	0.184	40	(0.136)	0.175
Constant	0.092***		(0.009)	0.000
L1.Arch	0.111***		(0.007)	0.000
L1.Garch	0.884***		(0.007)	0.000

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.