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Holiday Effect on Large Stock Price Changes

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  • Andrey Kudryavtsev

    (Economics and Management Department, The Max Stern Yezreel Valley Academic College)

Abstract

The study documents that both positive and negative large stock price moves occurring immediately before public holidays are followed by significant post-holiday price drifts, whose magnitude increases over longer time windows, while large stock price moves taking place on other days are followed by either non-significant or marginally significant price reversals. This holiday effect is more pronounced for small and more volatile stocks and remains robust after accounting for additional company- and event-specific factors. The findings may be attributed to investors' unwillingness to make influential trading decisions before holidays, which leads to underreaction to company-specific shocks.

Suggested Citation

  • Andrey Kudryavtsev, 2019. "Holiday Effect on Large Stock Price Changes," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 633-660, November.
    • Handle: RePEc:cuf:journl:y:2019:v:20:i:2:kudryavtsev
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    More about this item

    Keywords

    Behavioral finance; Holiday effect; Mood maintenance hypothesis; Large price changes; Stock price drifts;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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