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.

Thank God it’s Friday?—Correlation of the beginning and end of the week in general and Christmas holidays in particular with manner of death

Objective We evaluated the phrase “Thank God it’s Friday” (TGIF) from a forensic pathologist’s view, i.e. the correlation between the beginning and end of the week in general and Christmas Holidays in particular and the manner of death. Material and methods We retrospectively analyzed 758 consecutive autopsy cases from January 2017 to June 2019. Results There was no correlation between natural deaths and the beginning or the end of the week. One of our main findings in terms of a weekday effect was a profound increase in homicides towards the end of the week. In terms of a Christmas Holiday effect, we sadly observed a profoundly higher rate of suicide cases during Christmas Holidays compared with the rest of the year. Conclusion The TGIF phrase should be modified towards something like “Thank God, it’s Monday” (TGIM). We also should look out for our lonely and mood-susceptible fellow human beings in particular during Christmas Holidays.

An Inquiry into the Persistence of Holiday Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly

Asset pricing is a key area of literature in analysing and evaluating the stock market efficiency. Though various pricing models made efforts to explain the behaviour of the stocks, the existence of seasonal anomalies in the stock markets creates an opportunity for the investors to generate abnormal returns. The present article emphasizes one of such market anomalies namely, the holiday effect using indices belonging to Indian stock exchanges. Thorough research is performed by including all the prime market-capital and sectoral indices of the National Stock Exchange and the Bombay Stock Exchange. The ARIMAX methodology is adopted to observe the anomaly by considering exogenous variables representing the trading days before the exchange-mandated holidays. Further, the strength of the anomaly is analysed with the incorporation of various stock market reforms and observed to be significantly persistent among most of the Indian market indices (including both the sectoral and the market-capital based indices).

A Re-examination of the Holiday Effect in Stock Returns: The Case of Vietnam

This paper provides empirical evidence of the holiday effect in stock return and the implications of the holiday effect. The research finds that there are existing the high stock return before the Lunar new year on the Ho Chi Minh Stock Exchange during the period 2002-2018. This paper using the GARCH, Modified-GARCH, GARCH-M, and EGARCH models to test the holiday effect on stock return. The results indicate that there is evidence of holiday such as Chinese New Year in Vietnam which is called Lunar new year effect on stock return. Specifically, the stock return before the Lunar new year is usually higher than after the Lunar new year on the Ho Chi Minh Stock Exchange.

Analisis Momentum Hari Raya Idul Fitri pada Emiten Sektor Food and Beverage di Pasar Modal Indonesia

As a country with a majority Muslim population, Ramadan and Eid al-Fitr brings its own blessings. Economic activity has increased due to the high consumption of society, especially in related sectors, such as the food and beverage sector. Various studies, both national and international, were conducted to determine how the holiday affects in the capital market. The holiday effect is understood as a difference in yields or stock returns that occur abnormally due to a long holiday compared to other regular holidays. Long holidays in Indonesia occur during Eid al-Fitr. This study aims to determine whether the holiday effect occurs in the Indonesian capital market. Observation of data on the food & beverage sector in the Indonesian capital market was carried out by conducting the One Way ANNOVA test. The results of the calculation show F = 0.203 and the significance of 0.653 is greater than a = 0.05, so that rejecting H1 is due to no significant influence or no holiday effect on the Indonesian capital market

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