The existence and historical development of the holiday effect on the Swedish stock market

Shahin Eidinejad and Elena Dahlem

Applied Economics Letters, 2022, vol. 29, issue 19, 1855-1858

Abstract: This paper examines the holiday effect on the Swedish stock market over a 40-year period. We use a regression-based approach on daily price data to ascertain if the holiday effect is present on the Swedish stock market, analyse its historical development using 10-year subsamples, and assess whether its effects vary for different holidays. We find evidence for a positive post-holiday effect using the full sample period. When looking at the subsamples, however, we only find evidence for its existence in the 1990s and 2000s. We do not find evidence for the existence of a pre-holiday effect for any period. No holiday, considered by itself, shows evidence of a pre-holiday effect over the full sample period. For the holidays included, we only find evidence of a post-holiday effect after New Year’s.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2021.1967858 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:29:y:2022:i:19:p:1855-1858

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2021.1967858

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().