Holiday Effect on Large Stock Price Changes

Andrey Kudryavtsev

Annals of Economics and Finance, 2019, vol. 20, issue 2, 633-660

Abstract: The study documents that both positive and negative large stock price moves occurring immediately before public holidays are followed by significant post-holiday price drifts, whose magnitude increases over longer time windows, while large stock price moves taking place on other days are followed by either non-significant or marginally significant price reversals. This holiday effect is more pronounced for small and more volatile stocks and remains robust after accounting for additional company- and event-specific factors. The findings may be attributed to investors' unwillingness to make influential trading decisions before holidays, which leads to underreaction to company-specific shocks.

Keywords: Behavioral finance; Holiday effect; Mood maintenance hypothesis; Large price changes; Stock price drifts (search for similar items in EconPapers)
JEL-codes: G11 G14 G19 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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