THE HOLIDAY EFFECTS ON AMUSEMENT AND THEME PARK COMPANIES’ STOCK PRICES

Chia-Ning Chiu ()
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Chia-Ning Chiu: Department of Leisure Industry and Health Promotion, National Ilan University, Taiwan, R. O. C.

The Singapore Economic Review (SER), 2024, vol. 69, issue 03, 1289-1306

Abstract: This study offers further evidence of the holiday effect on excess stock returns and volatility, and additional insights into its impact on the amusement park and attractions industry in the United States. The generalized auto-regressive conditional heteroscedasticity (GARCH) model and dummy variables are adopted to investigate pre- and post-holiday excess returns and volatility. Empirical results suggest the following: (1) both excess returns and excess volatility happen more frequently in pre-holidays than post-holidays; (2) the frequency of excess volatility is higher than excess returns for the holiday effect; and (3) nearly all significant excess volatilities are negative. We, therefore, conclude that the holiday effect exists in publicly traded amusement and theme parks.

Keywords: Holiday effects; excess returns; excess volatility; GARCH model; amusement and theme park companies; stock prices (search for similar items in EconPapers)
JEL-codes: C58 G40 L83 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S0217590824500139

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