The effect of US holidays on European markets: when the cat's away...
| dc.contributor.author | Casado Sorozabal, Jorge | |
| dc.contributor.author | Muga Caperos, Luis Fernando | |
| dc.contributor.author | Santamaría Aquilué, Rafael | |
| dc.contributor.department | Gestión de Empresas | es_ES |
| dc.contributor.department | Enpresen Kudeaketa | eu |
| dc.date.accessioned | 2015-11-02T15:53:54Z | |
| dc.date.available | 2015-11-02T15:53:54Z | |
| dc.date.issued | 2013 | |
| dc.description | This is the peer reviewed version of the following article: Casado, J., Muga, L. and Santamaria, R. (2013), The effect of US holidays on the European markets: when the cat’s away…. Accounting & Finance, 53: 111–136, which has been published in final form at doi: 10.1111/j.1467-629X.2011.00460.x. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. | en |
| dc.description.abstract | This paper presents evidence of the existence of a return effect on European stock markets coinciding with NYSE holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect is large enough to be exploited by trading index futures. This anomaly can not be explained by seasonal effects, such as the day of the week effect, the January effect or the pre-holiday effect, nor is it consistent with behavioral finance models that predict positive correlation between trading volume and returns. However, examination of factors such as information volume or investor mix provides a reasonable explanation. | en |
| dc.description.sponsorship | This paper has received financial support from the Spanish Ministry of Science and Innovation (ECO2009-12819). | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1111/j.1467-629X.2011.00460.x | |
| dc.identifier.issn | 0810-5391 (Print) | |
| dc.identifier.issn | 1467-629X (Electronic) | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/18755 | |
| dc.language.iso | eng | en |
| dc.publisher | Wiley | en |
| dc.relation.ispartof | Accounting and Finance 53 (2013) 111–136 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01/ES/ | |
| dc.relation.publisherversion | https://dx.doi.org/10.1111/j.1467-629X.2011.00460.x | |
| dc.rights | © 2011 The Authors. Accounting and Finance © 2011 AFAANZ | en |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.subject | Efficient market hypothesis | en |
| dc.subject | Seasonal effects | en |
| dc.subject | Behavioral finance | en |
| dc.title | The effect of US holidays on European markets: when the cat's away... | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | |
| dspace.entity.type | Publication | |
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