Literature review on holidays and the stock market

In relation to the holiday effect, Keim suggests that systematic patterns in investor buying and selling behavior explain the unusually high returns observed on the trading days previous to holidays.

Since there are trading days in the average year, holiday returns will constitute an insignificant fraction of the total return accruing to the indices. Indeed, not only is the pre-holiday variance no greater than the variance for other days, the pre-holiday variance is actually lower than the variance of non- pre-holidays.

The main question is: General engineering companies in cape town. Also, stock returns are found to be systematically higher or lower depending on the time of the day, day of the week, month of the year and Holidays.

Their findings suggest that the highest and lowest returns are observed on Wednesdays and Mondays, but the highest and lowest volatility are present on Wednesdays and Fridays, respectively. Since holidays are often considered another type of market closing, similar to weekends, it seems reasonable that an explanation for one might help explain the other.

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The calendar time hypothesis states that the market behaves differently at different hours of the day, on different days of the week, and at various times of the month and year. Keim and Stambaugh find negative Monday returns using bid prices on actively traded OTC stocks and, therefore, reject expert related explanations.

The holiday studies Agrawal and Tandon, ; Ariel, ; Brockman and Michayluk, ; Kim and Park, ; Kim, ; Pettengill, all find increased returns during the day before a holiday period in many major markets.

Their analysis draws two conclusions: The behaviour of the stock market may also be affected by certain pre-determined events.

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In the final section, I conclude the paper with some important considerations for scholars and executives. Also, Keim and Stambaugh find that the weekend effect is greater for small-firm stocks than for large-firm stocks. Lakonishok and Maberly show that individual investors tend to increase their trading activity on Monday.

In particular, Jaffe and Westerfield examine the daily stock market returns for four foreign countries. Unlike monthly or weekly effects, the holiday effect may vary from market to market in timing, duration and frequency. The weak form of the Efficient Market Hypothesis asserts that the current stock price fully incorporates only that information contained in the past history of prices.

This fact serves to emphasize that the high pre-holiday return is not a reward for bearing extra risk. Briley, Apart from these two main seasonal effects, there are others like the December end Holiday effect Ariel, which finds that the pre-holiday returns are usually large.

Another seasonal variation that has been studied is the holiday effect. S and Kinney, W.


Rossi Cadsby and Ratner analyse the holiday effect in ten different stock market indices. Your use of any of these sample documents is subjected to your own decision NB: Ariel, Roll a observes that the period of January high returns in fact starts on the last trading day of December.

This technique is called technical analysis. Editing services boundary value problem pdfstony brook university majors an encounter robert frost analysis one stop teacher shop weekly language homework answers gre issue essay pool answers homework doesn't improve grades.

Ariel significant portion of the total twenty-year cumulative return earned by the market index can be recognized to the returns earned on pre-holidays. The name was changed to the Nigerian stock exchange. But as their discovery seasonal patterns in stock returns have failed to yield consistent returns over and above buy and hold strategies.

Here, the interest that is paid on the loan stock is charged against the operating profit and so the cost of interest payment.

Thus, the main reason for the Monday effect could be related to the trading pattern of individual investors. Some countries show variations in the day-of-the-week effect. For example this theory predicts a high Thursday return proceeding a Friday holiday, which is what occurs.

Literature Review Barnes () found evidences of the weak-form efficiency in the Malaysian market. However, in India, the null hypothesis that holidays do not affect the stock exchange was not able to be rejected.

stock market indices, Ahmad and Hussain allocated seventeen stocks each to the winners portfolio and losers portfolio. literature review of nigeria stock market MARKETING In this chapter, which is basically the review of relevant literatures, discussion would be focused on description of the capital market as it efforts in Nigerian economic development for the period of.

* Each market will close early at p.m.


( p.m. for eligible options) on Tuesday, July 3, and Wednesday, July 3, Crossing Session orders will be accepted beginning at p.m. for continuous executions until p.m. on this date, and NYSE American Equities, NYSE Arca Equities. The finance literature documents substantial evidence of pre-holiday positive returns of public holidays in both developed and emerging stock markets, perhaps due to the positive holiday sentiment.

To find the Effect of Calendar holidays on the stock return. Research Hypothesis. Stock returns on the day before holiday is higher than the day after holiday. Outline of the Study. The respite of the paper is structured as follows.

Chapter 2 describes the Literature review used for the study.

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Chapter Three LITERATURE REVIEW. Chapter Three LITERATURE REVIEW It is better to go through the articles, papers and other literary works of scholars who spent nights without sleep over the subject Stock Price the stock market with alarming cautiousness and unexpected bewilderment.

Literature review on holidays and the stock market
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