Empirical evidence of the holiday effect on the Indian stock market

Gaurav Kumar and Bhartendu Singh

Afro-Asian Journal of Finance and Accounting, 2026, vol. 16, issue 3, 387-412

Abstract: The holiday effect is a major calendar anomaly in the financial market which describes the tendency of abnormal returns either before or after holidays. This study examines the holiday effect in the Indian stock market during 1st November 2012 and 31st October 2022 by considering exchange holidays. This paper investigated select indices of the BSE viz, Sensex, FMCG, Oil and Gas, Bankex, IT, BSE 500, BSE large cap, mid cap, and small cap indices by adopting the non-parametric Mann-Whitney U-test, and Kruskal-Wallis test. Additionally, a robustness test was conducted using the parametric independent sample T-test to enhance the reliability of the findings. The present study has found statistically significant abnormally high mean returns before holidays in most samples. The empirical results confirm the presence of the pre-holiday effects in stock returns. However, this study does not find a post-holiday effect for any of the samples, except for the IT index.

Keywords: stock market anomalies; holiday effect; pre-holiday effect; calendar anomalies; abnormal returns; efficient market hypothesis; EMH; India. (search for similar items in EconPapers)
Date: 2026
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