THE HOLIDAY EFFECT IN STOCK RETURNS: EVIDENCE FROM THE OTC MARKET

Kartono Liano, Patrick H. Marchand and Gow‐Cheng Huang

Review of Financial Economics, 1992, vol. 2, issue 1, 45-54

Abstract: The patterns of daily returns in over‐the‐counter (OTC) stocks are examined to determine if a holiday effect exists in the OTC market. For the sample period of 1973–1989, test results provide evidence of unusually high returns on pre‐holiday trading days and unusually low returns on post‐holiday trading days in the OTC market. Additional analyses indicate that other documented calendar anomalies do not cause the pre‐holiday effect, but the day‐of‐the‐week effect apparently drives the post‐holiday effect.

Date: 1992
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1002/j.1873-5924.1992.tb00555.x

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:wly:revfec:v:2:y:1992:i:1:p:45-54

Access Statistics for this article

More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().