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Holliday Effect in Contemporary Capital Markets

Author

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  • Aurora Murgea

    (West University of Timisoara, Faculty of Economics and Business Administration)

Abstract

The prediction of the future capital market evolution is one of the important goals in theory and practice. Anomaly based strategies developed in the last decades of this century represent a more realistic approach to the alternatives based on Efficient Market Hypothesis, since the almost perfect efficient market as the one described by it is hardly to be found in real world. This paper analyzes one of the capital market anomalies, holiday effect in six different capital markets (both as localization and development degree). Despite some weak forms of evidences regarding the presence of this effect in four of the six countries from the sample, a more statistically significant correlation can be seen in Romania case.

Suggested Citation

  • Aurora Murgea, 2015. "Holliday Effect in Contemporary Capital Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 494-499, May.
    • Handle: RePEc:ovi:oviste:v:xv:y:2015:i:2:p:494-499
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    More about this item

    Keywords

    capital market efficiency; anomaly; holiday; return;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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