Hostname: page-component-5db6c4db9b-mcx2m Total loading time: 0 Render date: 2023-03-26T13:37:51.965Z Has data issue: true Feature Flags: { "useRatesEcommerce": false } hasContentIssue true

Holiday Effects and Stock Returns: Further Evidence

Published online by Cambridge University Press:  06 April 2009


This paper provides further evidence of the holiday effect in stock returns and additional insight into the effect. This paper reports abnormally high returns on the trading day before holidays in all three of the major stock markets in the U.S.: the NYSE, AMEX, and NASDAQ. The holiday effect is also present in the U.K. and Japanese stock markets, even though each country has different holidays and institutional arrangements. This study finds that the holiday effects in the U.K. and Japanese stock markets are independent of the holiday effect in the U.S. stock market. Unlike the other seasonal patterns in stock returns, such as January and weekend effects, this investigation of size decile portfolios shows that the size effect is not present in mean returns on preholidays.

Research Article
Copyright © School of Business Administration, University of Washington 1994

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)


Amihud, Y., and Mendelson, H.Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics, 17 (12 1986), 223249.CrossRefGoogle Scholar
Ariel, R. A.High Stock Returns before Holidays: Existence and Evidence on Possible Causes.” Journal of Finance, 45 (12 1990), 16111626.CrossRefGoogle Scholar
Becker, K. G.; Finnerty, J. E.; and Gupta, M.. “The Intertemporal Relation between the U.S. and Japanese Stock Markets.” Journal of Finance, 45 (09 1990), 12971306.Google Scholar
Blume, M. E., and Stambaugh, R. F.. “Biases in Computed Returns: An Application to the Size Effect.” Journal of Financial Economics, 12 (09 1983), 387404.CrossRefGoogle Scholar
Eun, C., and Shim, S.. “International Transmission of Stock Market Movements.” Journal of Financial and Quantitative Analysis, 24 (06 1989), 241256.CrossRefGoogle Scholar
Fosback, N.Stock Market Logic. Fort Lauderdale, FL: The Institute for Econometric Research (1976).Google Scholar
Gultekin, M. N., and Gultekin, N. B.. “Stock Market Seasonality: International Evidence.” Journal of Financial Economics, 12 (12 1983), 469482.CrossRefGoogle Scholar
Hamao, Y.; Masulis, R.W.; and Ng, V.. “Correlations in Price Changes and Volatility across International Stock Markets.” Review of Financial Studies, 3 (Summer 1990), 281308.CrossRefGoogle Scholar
Jaffe, J., and Westerfield, R.. “The Week-End Effect in Common Stock Returns: The International Evidence.” Journal of Finance, 40 (06 1985a), 433454.CrossRefGoogle Scholar
Jaffe, J., and Westerfield, R.. “Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects.” Journal of Financial and Quantitative Analysis, 20 (06 1985b), 261272.CrossRefGoogle Scholar
Jaffe, J., and Westerfield, R.Is There a Monthly Effect in Stock Market Returns?Journal of Banking and Finance, 13 (05 1989), 237244.CrossRefGoogle Scholar
Kato, K.Weekly Patterns in Japanese Stock Returns.” Management Science, 36 (09 1990), 10311043.CrossRefGoogle Scholar
Keim, D. B.Size Related Anomalies and Stock Return Seasonality: Further Empirical Evidence.” Journal of Financial Economics, 12 (12 1983), 1332.CrossRefGoogle Scholar
Keim, D. B.Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points.” Journal of Financial Economics, 25 (11 1989), 7598.CrossRefGoogle Scholar
Keim, D. B., and Stambaugh, R. F.. “A Further Investigation of the Weekend Effect in Stock Returns.” Journal of Finance, 39 (07 1984), 819840.CrossRefGoogle Scholar
Lakonishok, J., and Smidt, S.. “Are Seasonal Anomalies Real? A Ninety-Year Perspective.” Review of Financial Studies, 1 (Winter 1988), 403425.CrossRefGoogle Scholar
Merrill, A. A.Behavior of Prices on Wall Street. chappaqua, NY: The Analysis Press (1965).Google Scholar
Pettengill, G. N.Holiday Closing and Security Returns.” Journal of Financial Research, 12 (Spring 1989), 5767.CrossRefGoogle Scholar
Reinganum, M. R.The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-loss Selling Effects.” Journal of Financial Economics, 12 (06 1983), 89104.CrossRefGoogle Scholar
Roll, R.Vas 1st Das?Journal of Portfolio Management, 9 (Winter 1983a), 1828.CrossRefGoogle Scholar
Roll, R.On Computing Mean Returns and the Small Firm Premium.” Journal of Financial Economics, 12 (11 1983b), 371386.CrossRefGoogle Scholar
Roll, R.A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market.” Journal of Finance, 39 (12 1984), 11271139.CrossRefGoogle Scholar