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Another look at the holiday effect

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  • Paulo M. Gama
  • Elisabete F. S. Vieira

Abstract

This article provides further evidence on the holiday effect by analysing stock market behaviour on the days a public holiday is not accompanied by a stock market break. Indeed, since 2003, when the trading calendar of Portuguese stock market was harmonized with the remaining Euronext national markets, on several occasions Portuguese national holidays were not weekdays on which the stock market was closed. Moreover, we adopted a bottom-up approach that allows us to search for size effects and industry effects. Our results show a statistically significant negative liquidity effect and an economically and statistically significant positive price effect during Portuguese-specific national holidays relative to a typical trading day. Return-related impact effects are driven by the smaller-sized stocks and robust to the recent crisis period. These results suggest the prevalence of a mood effect, by which those nondistracted traders' positive feelings translate into a buying pressure, or reluctance to sell, that drives up prices on the onset of country-specific holidays.

Suggested Citation

  • Paulo M. Gama & Elisabete F. S. Vieira, 2013. "Another look at the holiday effect," Applied Financial Economics, Taylor & Francis Journals, vol. 23(20), pages 1623-1633, October.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:20:p:1623-1633
    DOI: 10.1080/09603107.2013.842638
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    3. 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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    5. Harald Kinateder & Kimberly Weber & Niklas F. Wagner, 2019. "Revisiting Calendar Anomalies In Brics Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(2), pages 213-236, July.
    6. Iyad SNUNU, 2024. "Mood Swings And The Firm Size Premium," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 9(1), pages 165-176, March.
    7. Steven D. Moffitt, 2018. "On a Constructive Theory of Markets," Papers 1801.02994, arXiv.org.
    8. Casalin, Fabrizio, 2018. "Determinants of holiday effects in mainland Chinese and Hong-Kong markets," China Economic Review, Elsevier, vol. 49(C), pages 45-67.

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