The effect of US holidays on European markets: when the cat's away...

Casado, Jorge; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael

doi:10.1111/j.1467-629X.2011.00460.x

dc.creator	Casado, Jorge	es_ES
dc.creator	Muga Caperos, Luis Fernando	es_ES
dc.creator	Santamaría Aquilué, Rafael	es_ES
dc.date.accessioned	2015-11-02T15:53:54Z
dc.date.available	2015-11-02T15:53:54Z
dc.date.issued	2013
dc.identifier.issn	0810-5391 (Print)
dc.identifier.issn	1467-629X (Electronic)
dc.identifier.uri	https://hdl.handle.net/2454/18755
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.language.iso	eng	en
dc.publisher	Wiley	en
dc.relation.ispartof	Accounting and Finance 53 (2013) 111–136	en
dc.rights	© 2011 The Authors. Accounting and Finance © 2011 AFAANZ	en
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	Artículo / Artikulua	es
dc.type	info:eu-repo/semantics/article	en
dc.contributor.department	Gestión de Empresas	es_ES
dc.contributor.department	Enpresen Kudeaketa	eu
dc.rights.accessRights	Acceso abierto / Sarbide irekia	es
dc.rights.accessRights	info:eu-repo/semantics/openAccess	en
dc.identifier.doi	10.1111/j.1467-629X.2011.00460.x
dc.relation.projectID	info:eu-repo/grantAgreement/MICINN//ECO2009-12819-C03-01/ES/	en
dc.relation.publisherversion	https://dx.doi.org/10.1111/j.1467-629X.2011.00460.x
dc.type.version	Versión aceptada / Onetsi den bertsioa	es
dc.type.version	info:eu-repo/semantics/acceptedVersion	en

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