Stock returns around nontrading periods: evidence from an emerging market

Ali Akyol

Applied Financial Economics, 2011, vol. 21, issue 20, 1549-1560

Abstract: I examine intraday stock returns in the Istanbul Stock Exchange (ISE) around nontrading periods - weekends and holidays - by utilizing the exchange's structure of two trading sessions. I find that returns are generally more positive in the last session on Fridays and more negative in the first session on Mondays. The results also indicate that the weekend effect has disappeared in the ISE in recent years. I further find some evidence that there is a relationship between the length of a holiday nontrading period and returns around it. The longer a nontrading period is, the more positive the returns are in the morning session before the holiday and the less positive the returns are in the morning session after the holiday. My findings indicate the importance of the uncertainty imposed on stock returns by the length of a nontrading period.

Keywords: day of the week effect; holiday effect; calendar anomalies; market efficiency; nontrading period; session returns (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1080/09603107.2011.583214

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