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The Holiday Effects On Amusement And Theme Park Companies’ Stock Prices

Author

Listed:
  • CHIA-NING CHIU

    (Department of Leisure Industry and Health Promotion, National Ilan University, Taiwan, R. O. C.)

Abstract

This study offers further evidence of the holiday effect on excess stock returns and volatility, and additional insights into its impact on the amusement park and attractions industry in the United States. The generalized auto-regressive conditional heteroscedasticity (GARCH) model and dummy variables are adopted to investigate pre- and post-holiday excess returns and volatility. Empirical results suggest the following: (1) both excess returns and excess volatility happen more frequently in pre-holidays than post-holidays; (2) the frequency of excess volatility is higher than excess returns for the holiday effect; and (3) nearly all significant excess volatilities are negative. We, therefore, conclude that the holiday effect exists in publicly traded amusement and theme parks.

Suggested Citation

  • Chia-Ning Chiu, 2024. "The Holiday Effects On Amusement And Theme Park Companies’ Stock Prices," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(03), pages 1289-1306, June.
    • Handle: RePEc:wsi:serxxx:v:69:y:2024:i:03:n:s0217590824500139
    DOI: 10.1142/S0217590824500139
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    Keywords

    Holiday effects; excess returns; excess volatility; GARCH model; amusement and theme park companies; stock prices;
    All these keywords.

    JEL classification:

    • G40 - Financial Economics - - Behavioral Finance - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

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