An empirical note on the holiday effect in the Australian stock market, 1996–2006

George J. Marrett · Andrew C. Worthington

71 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

This note examines the holiday effect in Australian daily stock returns at the market and industry level and for small capitalization stocks from Monday 9 September 1996 to Friday 10 November 2006. The eight annual holidays specified are New Years Day, Australia Day (26 January), Easter Friday and Easter Monday, ANZAC Day (25 April), the Queen's Birthday (second Monday in June), Christmas Day and Boxing Day. A regression-based approach is employed. The results indicate that the Australian market overall provides evidence of a pre-holiday effect in common with small cap stocks. However, the market level effect appears to be solely the result of a strong pre-holiday effect in the retail industry. No evidence is found of a post-holiday effect in any market or industry.

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References

1994Anomalies or illusions? Evidence from stock markets in eighteen countries 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes 1992Turn-of-month and pre-holiday effects on stock returns: Some international evidence 1994Holiday Effects and Stock Returns: Further Evidence 2006Disappearing anomalies: a dynamic analysis of the persistence of anomalies 1997Security price anomalies in the London International Stock Exchange: a 60 year perspective 1996Seasonality and cultural influences on four Asian stock markets

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