THE HOLIDAY EFFECT IN STOCK RETURNS: EVIDENCE FROM THE OTC MARKET

Kartono Liano · Patrick H. Marchand · Gow‐Cheng Huang

37 citations0/0 files storedReview of Financial Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

The patterns of daily returns in over‐the‐counter (OTC) stocks are examined to determine if a holiday effect exists in the OTC market. For the sample period of 1973–1989, test results provide evidence of unusually high returns on pre‐holiday trading days and unusually low returns on post‐holiday trading days in the OTC market. Additional analyses indicate that other documented calendar anomalies do not cause the pre‐holiday effect, but the day‐of‐the‐week effect apparently drives the post‐holiday effect.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 37 citations exist upstream.

References

1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1984A Further Investigation of the Weekend Effect in Stock Returns 1987A monthly effect in stock returns 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes 1989Trading patterns, bid-ask spreads, and estimated security returns 1984Volume and turn-of-the-year behavior 1989Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market 1988Short-term stock price patterns

Cited by

2014Daily seasonality in crude oil returns and volatilities 1998The diminishing calendar anomalies in the stock exchange of Singapore 2009Firm Size and the Pre-Holiday Effect in New Zealand 2013Another look at the holiday effect

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.