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The Holiday Effect In Stock Returns: Evidence From The Otc Market

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  • Kartono Liano
  • Patrick H. Marchand
  • Gow‐Cheng Huang

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.

Suggested Citation

  • Kartono Liano & Patrick H. Marchand & Gow‐Cheng Huang, 1992. "The Holiday Effect In Stock Returns: Evidence From The Otc Market," Review of Financial Economics, John Wiley & Sons, vol. 2(1), pages 45-54, September.
    • Handle: RePEc:wly:revfec:v:2:y:1992:i:1:p:45-54
    DOI: 10.1002/j.1873-5924.1992.tb00555.x
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    References listed on IDEAS

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    1. Keim, Donald B & Stambaugh, Robert F, 1984. "A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    3. Ariel, Robert A, 1990. "High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-1626, December.
    4. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
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    Cited by:

    1. Goodell, John W. & Kumar, Satish & Rao, Purnima & Verma, Shubhangi, 2023. "Emotions and stock market anomalies: A systematic review," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).

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