The effect of US holidays on European markets: when the cat's away...
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Date
2013
Version
Acceso abierto / Sarbide irekia
Type
Artículo / Artikulua
Version
Versión aceptada / Onetsi den bertsioa
Project Identifier
MICINN//ECO2009-12819-C03-01/ES/ 
Impact
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 p ...
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Subject
Efficient market hypothesis,
Seasonal effects,
Behavioral finance
Publisher
Wiley
Published in
Accounting and Finance 53 (2013) 111–136
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.
Departament
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Publisher version
Sponsorship
This paper has received financial support from the Spanish Ministry of Science and Innovation
(ECO2009-12819).
