The holiday effect refers to the tendency of the market to do well on any day which precedes a holiday.
LAKONISHOK, Josef and Seymour SMIDT, 1988. Are seasonal anomalies real? A ninety-year perspective, The Review of Financial Studies, Vol. 1, No. 4. (Winter, 1988), pp. 403-425. [Cited by 161] (8.80/year)
Abstract: "This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays."
ARIEL, R.A., 1990. High Stock Returns before Holidays: Existence and Evidence on Possible Causes, The Journal of Finance, Vol. 45, No. 5. (Dec., 1990), pp. 1611-1626. [Cited by 64] (3.93/year)
Abstract: "On the trading day prior to holidays, stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year. Over one third of the total return accruing to the market portfolio over the 1963–1982 period was earned on the eight trading days which each year fall before holiday market closings. Examination of hourly pre-holiday stock returns reveals high returns throughout the day. Pre-holiday stock returns in the post-test 1983–1986 period are also examined."
ARSAD, Zainudin and J. Andrew COUTTS. 1997. Security price anomalies in the London International Stock Exchange: a 60 year perspective, Applied Financial Economics, Volume 7, Number 5, 1 October 1997, pp. 455-464. [Cited by 29] (3.12/year)
Abstract: "This paper investigates the existence of security price anomalies, or ‘calendar effects’ in the Financial Times Industrial Ordinary Shares Index over a 60 year period: 1 July 1935 through 31 December 1994. Our results broadly support similar evidence documented for many countries concerning stock market anomalies, as the weekend, January and holiday effects all appear, to some extent, to be present in our data set. We conclude, that even if these anomalies are persistent in their occurrence and magnitude, the cost of implementing any potential ‘trading rules’ may be prohibitive due to the illiquidity of the market and ‘round trip’ transactions costs. This is of course perfectly consistent with the notion of market efficiency, in that no strategy exists that will consistently yield abnormal returns."
MENEU, Vicente and Angel PARDO, 2004. Pre-holiday Effect, Large Trades and Small Investor Behaviour, Journal of Empirical Finance, Volume 11, Issue 2, March 2004, Pages 231-246. [Cited by 6] (2.61/year)
Abstract: "This paper investigates the existence of a pre-holiday effect in the most important individual stocks of the Spanish Stock Exchange that are also traded in both the New York Stock Exchange and the Frankfurt Stock Exchange. Our results show high abnormal returns on the trading day prior to holidays that are not related to any calendar anomaly. A thorough study of diverse liquidity-related measures suggests a new explanation for the pre-holiday effect based on the reluctance of small investors to buy on pre-holidays. The results of this paper are important for the practitioners since we show that institutional investors could have economically exploited this anomaly."
KIM, Chan-Wung and Jinwoo PARK, 1994. Holiday Effects and Stock Returns: Further Evidence, The Journal of Financial and Quantitative Analysis, Vol. 29, No. 1. (Mar., 1994), pp. 145-157. [Cited by 30] (2.44/year)
Abstract: "This paper provides further evidence of the holiday effect in stock returns and additional insight into the effect. This paper reports abnormally high returns on the trading day before holidays in all three of the major stock markets in the U.S.: the NYSE, AMEX, and NASDAQ. The holiday effect is also present in the U.K. and Japanese stock markets, even though each country has different holidays and institutional arrangements. This study finds that the holiday effects in the U.K. and Japanese stock markets are independent of the holiday effect in the U.S. stock market. Unlike the other seasonal patterns in stock returns, such as January and weekend effects, this investigation of size decile portfolios shows that the size effect is not present in mean returns on preholidays."
REDMAN, Arnold L., Herman MANAKYAN and Kartono LIANO, 1997. Real Estate Investment Trusts and Calendar Anomalies. Journal of Real Estate Research. [Cited by 8] (0.86/year)
LIANO, K., P.H. MARCHAND and G.C. HUANG, 1992. The holiday effect in stock returns: Evidence from the OTC market. Review of Financial Economics. [Cited by 9] (0.63/year)
TAKEI, A., et al., 2003. 'Drug holiday' effects of tandospirone in a patient with Machado-Joseph disease. Psychiatry and Clinical Neurosciences. [Cited by 2] (0.61/year)
BROCKMAN, P., 1995. A review and analysis of the holiday effect. Financial Markets, Institutions & Instruments. [Cited by 5] (0.44/year)
MERRILL, A.A., 1966. Behavior of Prices on Wall Street. Analysis Press. [Cited by 8] (0.20/year)
CHENG, S.W., 1996. The Impact of Holidays on the Trading Pattern of Australian Share Price Index Futures. Honours Dissertation, Department of Accounting and Finance, …. [Cited by 2] (0.19/year)
KAM, S.W., 1995. … of Daily Foreign Exchange Rates with Non-normal Assumption and Day-of-the-week and Holiday Effects. Dept. of Economics, University of Queensland. [Cited by 1] (0.09/year)