IDEAS home Printed from https://ideas.repec.org/a/ids/afasfa/v15y2025i2p265-276.html
   My bibliography  Save this article

Santa Claus rally and American depository receipts: a note

Author

Listed:
  • Srinivas Nippani
  • Júlio Lobão

Abstract

Recent empirical evidence supports the presence of the Santa Claus rally, an intriguing market anomaly that produces above-average returns during the last five trading days of December and the first two trading days of January. This anomaly, one of the latest that goes against market efficiency, has been found to exist in several countries, including countries where Christmas holds less significance in the calendar year. This paper examines for the first time the existence of the anomaly in the American depository receipts (ADRs) market. By analysing data from four distinct periods spanning nearly 25 years, we demonstrate that the anomaly solely manifests in the long form, encompassing the first two trading days in January. Our findings are robust and carry significant implications for both practitioners and academics.

Suggested Citation

  • Srinivas Nippani & Júlio Lobão, 2025. "Santa Claus rally and American depository receipts: a note," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 15(2), pages 265-276.
    • Handle: RePEc:ids:afasfa:v:15:y:2025:i:2:p:265-276
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=144777
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:afasfa:v:15:y:2025:i:2:p:265-276. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=214 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.