Returns to Equity Before and After Holidays: Australian Evidence and Tests of Plausible Hypotheses

Stephen Easton
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Stephen Easton: Department of Accounting and Finance, Monash University, Clayton VIC.

Australian Journal of Management, 1990, vol. 15, issue 2, 281-296

Abstract: There is evidence that mean equity returns in Australia (as in the U.S.) are positive before and after holidays. Two distinctively Australian features are used to examine this regularity. First, the Australian market is dominated by two exchanges of approximately equal importance. Returns on each exchange before and after days on which only one of the exchanges was closed were examined. Returns preceding the closure were significantly higher on the closed exchange. Second, Australian holidays vary from one to five days. A positive association was found between returns before and after holidays, and holiday duration. These findings support settlement procedure and calendar time hypotheses.

Keywords: HOLIDAY CLOSINGS; ANOMALIES; EQUITY RETURNS; REGULARITIES (search for similar items in EconPapers)
Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:15:y:1990:i:2:p:281-296

DOI: 10.1177/031289629001500204

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