The passing from the classical to the extended form of the Holiday Effect on the Euronext
In some circumstances, the classical form of the Holiday Effect, consisting in abnormal returns that occur one trading day before and one trading day after a public holiday, could be replaced by an extended form, in which abnormal returns are found in an enlarged time interval. This paper explores the presence of classical and extended form of the Holiday Effect on four indexes of Euronext capital market: AEX, CAC 40, ISEQ 20 and PSI 20. We perform this investigation for two periods: January 2000 - December 2011 and January 2012 - June 2020. For the first period the results suggest that classical form of the Holiday Effect predominated. Instead, for the second period we found abnormal returns in enlarged time intervals.
2. Akaike, H., 1974. A new look at the statistical model identification. IEEE transactions on automatic control, 19(6), pp. 716-723.
3. Ariel, R. A., 1990. High stock returns before holidays: Existence and evidence on possible causes. The Journal of Finance, 45(5), pp. 1611-1626.
4. Bollerslev T., 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), pp. 307-327.
5. Brockman, P. and Michayluk, D., 1998. The persistent holiday effect: Additional evidence. Applied Economics Letters, 5(4), pp. 205-209.
6. Cadsby, C. B. and Ratner, M., 1992. Turn-of-month and pre-holiday effects on stock returns: Some international evidence. Journal of Banking & Finance, 16(3), pp. 497-509.
7. Canepa, A.and Ibnrubbian, A., 2014. Does faith move stock markets? Evidence from Saudi Arabia. The Quarterly Review of Economics and Finance, 54(4), pp. 538-550.
8. Cao, X. L., Premachandra, I. M., Bhabra, G. S. and Tang, Y. P., 2009. Firm size and the pre-holiday effect in New Zealand. International Research Journal of Finance and Economics, 32, pp. 171-187.
9. Casalin, F., 2018. Determinants of holiday effects in mainland Chinese and Hong-Kong markets. China Economic Review, 49, pp. 45-67.
10. Chong, R., Hudson, R., Keasey, K. and Littler, K., 2005. Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly. Journal of International Money and Finance, 24(8), pp. 1226-1236.
11. Dickey, D.A. and Fuller, W.A., 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), pp. 427-431.
12. Dickey, D.A. and Fuller, W.A., 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, pp. 1057-1072.
13. Dimson, E. and Marsh, P., 1999. Murphy's law and market anomalies. The Journal of Portfolio Management, 25(2), pp. 53-69.
14. Dodd, O. and Gakhovich, A., 2011. The holiday effect in Central and Eastern European financial markets. Investment Management and Financial Innovations, 8(4), pp. 29-35.
15. Dumitriu, R., Stefanescu, R. and Nistor, C., 2012. Holiday effects during quiet and turbulent times. Proceedings of the International Conference of Scientific Paper AFASES 2012 Brasov, 24-26 May 2012.
16. Dumitriu, R. and Stefanescu, R, 2020. The Extended Holiday Effect on US Capital Market, [online] Available at:
17. Engle, R.F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, pp. 987-1007.
18. Fama, E.F., 1970. Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25(2), pp. 383-417.
19. Fama, E. F. and French, K. R., 2008. Dissecting anomalies. The Journal of Finance, 63(4), pp. 1653-1678.
20. Fields, M. J., 1934. Security prices and stock exchange holidays in relation to short selling. The Journal of Business of the University of Chicago, 7(4), pp. 328-338.
21. Gama, P. M. and Vieira, E. F., 2013. Another look at the holiday effect. Applied Financial Economics, 23(20), pp. 1623-1633.
22. Grossman, S. and Stiglitz, J., 1980. On the impossibility of informationally efficient markets. American Economic Review, 70, pp. 393-408.
23. Jensen, M. C., 1978. Some Anomalous Evidence Regarding Market Efficiency, Journal of Financial Economics 6, pp. 95-101.
24. Kim, C. W. and Park, J., 1994. Holiday effects and stock returns: Further evidence. Journal of Financial and Quantitative Analysis, pp. 145-157.
25. Kudryavtsev, A., 2019. Holiday Effect on Large Stock Price Changes. Annals of Economics & Finance, 20(2).
26. Lakonishok, J. and Smidt, S., 1988. Are seasonal anomalies real? A ninety-year perspective. The Review of Financial Studies, 1(4), pp. 403-425.
27. Lu, X., Mehran, J., and Gao, H., 2016. Holiday trading in China: Before and during the financial crisis. Journal of Applied Finance and Banking, 6(2), pp. 117-128.
28. Malkiel, B. G., 2003. The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17(1), pp. 59-82.
29. Marquering, W., Nisser, J. and Valla, T., 2006. Disappearing anomalies: a dynamic analysis of the persistence of anomalies. Applied Financial Economics, 16(4), pp. 291-302.
30. Marrett, G. J. and Worthington, A. C., 2009. An empirical note on the holiday effect in the Australian stock market, 1996–2006. Applied Economics Letters, 16(17), pp. 1769-1772.
31. Meneu, V. and Pardo, A., 2004. Pre-holiday effect, large trades and small investor behaviour. Journal of Empirical Finance, 11(2), pp. 231-246.
32. Satt, H., 2016. Religious holidays and analysts forecast optimism: Evidence from MENA countries. Journal of Economic & Financial Studies, 4(04), pp. 1-11.
33. Schwert, G.W., 2003. Anomalies and Market Efficiency, Handbook of the Economics of Finance, 1(B), pp. 939-974.
34. Stefanescu, R. and Dumitriu, R., 2018. Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange. Proceedings of the International Conference “Risk in Contemporary Economy” XIXth Edition, 2018, Galati, pp. 189-202.
35. Thaler, R. H., 1987. Anomalies: Weekend, Holiday, Turn of the Month, and Intraday Effects, Journal of Economic Perspectives, 1(2), pp. 169-177.
36. Tsiakas, I., 2010. The economic gains of trading stocks around holidays. Journal of Financial Research, 33(1), pp. 1-26.
37. Vergin, R. C., and McGinnis, J., 1999. Revisiting the holiday effect: is it on holiday? Applied Financial Economics, 9(5), pp. 477-482.
38. Wu, C., 2013. The Chinese New Year holiday effect: evidence from Chinese ADRs. Investment management and financial innovations (10, Iss. 2), pp. 8-14.
39. Ziemba, W. T., 1991. Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects. Japan and the World Economy, 3(2), pp. 119-146.
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
By submitting a paper for publishing the authors hereby comply with the following provisions: 1. The authors retain the copyrights and only give the journal the right for first publication while licensing the work under Creative Commons Attribution License, which grants permissions to others to share the contribution citing this journal as first publication of the text. 2. The authors may enter separate, additional contractual relations for non-exclusive distribution of the published version of the work in this journal (e.g. to upload it in an institutional depository, or to be published in a book), given that they cite the first publication in this journal. 3. The authors are allowed and are encouraged to publish their works online (e.g. to upload it in an institutional depository, personal websites, social networks, etc.) before, during, and after the submission of the paper here, because this may lead to productive exchange, as well as earlier and larger referencing of the published works (see The Effect of Open Access).