Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly

The pre-holiday effect is one of the best known of the calendar effect anomalies. This paper extends prior work by examining whether the effect has declined for the U.S., U.K. and Hong Kong markets. For all three markets, the effect is shown to have declined, but only significantly in the U.S. The r...

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Bibliographic Details
Published in:Journal of international money and finance 2005-12, Vol.24 (8), p.1226-1236
Main Authors: Chong, Ryan, Hudson, Robert, Keasey, Kevin, Littler, Kevin
Format: Article
Language:English
Subjects:
Anomaly
Christmas
Empirical tests
Financial economics
Impact analysis
International finance
Market analysis
Pre-holiday effect
Rates of return
Seasonal fluctuations
Securities markets
Stock exchange
Stock market
Stock returns
Studies
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Summary:The pre-holiday effect is one of the best known of the calendar effect anomalies. This paper extends prior work by examining whether the effect has declined for the U.S., U.K. and Hong Kong markets. For all three markets, the effect is shown to have declined, but only significantly in the U.S. The result is not surprising given the relative sophistication of the market. What is surprising, however, is the reversal of the pre-holiday effect during the period 1991–1997, with the mean return on pre-holiday days becoming negative, and the subsequent elimination of this effect during 1997–2003.
ISSN:0261-5606
1873-0639
DOI:10.1016/j.jimonfin.2005.08.015