Holiday effects during quiet and turbulent times

Ramona Dumitriu, Razvan Stefanescu and Costel Nistor

MPRA Paper from University Library of Munich, Germany

Abstract: The objective of the paper is to examine the possible holiday effects in the stock returns from a group of 28 countries. In our investigation we employ daily values of some representative indexes from January 2000 to December 2011. We split this sample in two sub-samples: before and during the global crisis. We identify the pre or the post holiday effects using regressions with dummy variables. The results indicate significant changes from the pre-crisis period to the crisis period. We find that such changes were more consistent in the case of emerging markets in comparison with the advanced financial markets.

Keywords: Calendar Anomalies; Global Crisis; Holiday Effect (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2012-03-07, Revised 2012-03-07
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Citations: View citations in EconPapers (4)

Published in The Proceedings of the 14th International Conference AFASES - “Scientific Research and Education in the Air Force” (2012): pp. 57-62

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41625

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