Holiday Effects in the US Equity Futures Markets

We investigate the holiday effect in US equity futures markets during three sub-periods 1993-2011, 1993-2020, and during the 2020 covid-19 year for small cap stocks measured by the Russell2000 and large cap stocks measured by the S&P500. All the days from -3 before the holiday to -1 had gains and for the large caps there were gains on +1 and +2. The effect is stronger for the small caps. The year 2020 had results similar to the longer series with positive gains. We show the various holidays by holiday day and observe that the -3 day had gains on all the holidays whereas the other days did not. The effect has diminished in the 1990s and 2000s and only the -3 day is statistically significant. The -3 day in the futures anticipates the cash move on -1 day.

Will stock rise on Valentine’s Day?

PurposeThis study is a pioneer in the academic literature to investigate the relationship between Valentine’s Day and stock market returns of major economies around the world.Design/methodology/approachSpecific control variables for Valentine's Day are introduced to eliminate the potential influence of other effects.FindingsThe findings indicate that stock returns are higher on the days when Valentine's Day is approaching than on other days for most cases, showing “the Valentine Effect” in the stock market.Originality/valueUnlike other holiday effects in the previous literature, the Valentine's Day effect cannot be explained by many conventional theories, such as tax-loss selling and the inventory adjustment hypothesis.

Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

Changes in Air Pollution Following the COVID-19 Epidemic in Northern China: The Role of Meteorology

COVID-19 has a tremendous impact on both human life and the environment due to the unprecedented large-scale shutdown of economic activities at the beginning of 2020. While it was widely expected to see a dramatic reduction in air pollution, reality appears to be much more complex due to the joint influences of emissions and meteorology in dictating air pollution. By analyzing ample meteorological and environmental observational data, this study attempts to evaluate the contribution of an economic lockdown or at a well-below normal level across China to air pollution during the COVID-19 pandemic in the Beijing-Tianjin-Hebei region. Besides the unprecedented emission reductions that helped to improve air quality, multiple other factors came into play, such as high humidity and low wind speed that are favorable for haze formation. After separating long-term trends, seasonal signals, holiday effects, and meteorological contributions concerning climatology, we estimated that the relative contributions of human activities to changes in particulate matter with a diameter of less than 2.5 μm and nitrogen dioxide during the epidemic were −17.13 μg/m3 and −0.03 μg/m3, respectively, with negative quantities denoting reductions to air pollution. Furthermore, comparing the changes in PM2.5 and NO2 concentrations after lockdown revealed that for short-term control measures, meteorological factors mainly affected pollutant particles.

The holiday effects in stock returns: a challenge for the textile and clothing industry of India

This research paper examines the holiday effects presence on the Bombay Stock Exchange (BSE), which is a major Indian stock exchange. Textile and clothing industry in India is one of the most important producers in the world, but also the second exporter of textile and apparels globally. The empirical analysis investigates the impact of holiday effect on the development of textile and clothing industry in India. The holiday effect is one of the most important calendar anomalies identified in the financial markets. The methodological approach includes the non-parametric Mann-Whitney U-test used to test the equality of means for different sub-sets. The findings revealed that the mean returns for pre-holiday and post holidays were greater compared to that of remaining days, but the empirical results showed that they were not statistically significant for selected stocks of BSE based on daily stock returns data for Ruby Mills and Mafatlal Industries

REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES

We use a GARCH-dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for BRICS countries’ stock markets during 1996 to 2018. The month-of-the-year (MOY), turn-of-the-month (TOM), day-of-the-week (DOW), and holiday effects are investigated. The most striking DOW effect is given for Tuesdays. The TOM effect is validated, while we interestingly find no evidence of a January effect. A general holiday effect is not documented, but the Indian market shows a significant pre- and a post-holiday effect, the Chinese market is anomalous before public holidays and the South African market is affected after holidays only.