Holliday Effect in Contemporary Capital Markets

Aurora Murgea ()
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Aurora Murgea: West University of Timisoara, Faculty of Economics and Business Administration

Ovidius University Annals, Economic Sciences Series, 2015, vol. XV, issue 2, 494-499

Abstract: The prediction of the future capital market evolution is one of the important goals in theory and practice. Anomaly based strategies developed in the last decades of this century represent a more realistic approach to the alternatives based on Efficient Market Hypothesis, since the almost perfect efficient market as the one described by it is hardly to be found in real world. This paper analyzes one of the capital market anomalies, holiday effect in six different capital markets (both as localization and development degree). Despite some weak forms of evidences regarding the presence of this effect in four of the six countries from the sample, a more statistically significant correlation can be seen in Romania case.

Keywords: capital market efficiency; anomaly; holiday; return (search for similar items in EconPapers)
JEL-codes: C2 G14 G17 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xv:y:2015:i:2:p:494-499

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