The effect of US holidays on European markets: when the cat's away...
Fecha
2013Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
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10.1111/j.1467-629X.2011.00460.x
Resumen
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 p ...
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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. [--]
Materias
Efficient market hypothesis,
Seasonal effects,
Behavioral finance
Editor
Wiley
Publicado en
Accounting and Finance 53 (2013) 111–136
Notas
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.
Departamento
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Versión del editor
Entidades Financiadoras
This paper has received financial support from the Spanish Ministry of Science and Innovation
(ECO2009-12819).