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Holiday Trading in Futures Markets

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  • Fabozzi, Frank J
  • Ma, Christopher K
  • Briley, James E

Abstract

In this paper, the authors find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange-closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange-open holidays. This is consistent with positive holiday sentiments. The holiday effect is uniquely independent: the magnitude of excess holiday returns is the largest among all seasonal variations. Copyright 1994 by American Finance Association.

Suggested Citation

  • Fabozzi, Frank J & Ma, Christopher K & Briley, James E, 1994. "Holiday Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 49(1), pages 307-324, March.
    • Handle: RePEc:bla:jfinan:v:49:y:1994:i:1:p:307-24
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