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Holiday Trading in Futures Markets

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  • Fabozzi, Frank J
  • Ma, Christopher K
  • Briley, James E

Abstract

In this paper, the authors find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange-closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange-open holidays. This is consistent with positive holiday sentiments. The holiday effect is uniquely independent: the magnitude of excess holiday returns is the largest among all seasonal variations. Copyright 1994 by American Finance Association.

Suggested Citation

  • Fabozzi, Frank J & Ma, Christopher K & Briley, James E, 1994. "Holiday Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 49(1), pages 307-324, March.
  • Handle: RePEc:bla:jfinan:v:49:y:1994:i:1:p:307-24
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    Cited by:

    1. Lobão, Júlio, 2019. "Seasonal anomalies in the market for American depository receipts," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 241-265.
    2. Autore, Don M. & Jiang, Danling, 2019. "The preholiday corporate announcement effect," Journal of Financial Markets, Elsevier, vol. 45(C), pages 61-82.
    3. Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.
    4. Mitchell, Jason D & Lian Ong, Li & Izan, H.Y, 2000. "Idiosyncrasies in Australian petrol price behaviour: evidence of seasonalities," Energy Policy, Elsevier, vol. 28(4), pages 243-258, April.
    5. Seif, Mostafa & Docherty, Paul & Shamsuddin, Abul, 2017. "Seasonal anomalies in advanced emerging stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 169-181.
    6. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
    7. Lahav, Eyal & Shavit, Tal & Benzion, Uri, 2016. "Can't wait to celebrate: Holiday euphoria, impulsive behavior and time preference," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 65(C), pages 128-134.
    8. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019. "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
    9. Mark D. Griffiths & Drew B. Winters, 1996. "The Relation Between The Federal Funds Cash And Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 359-376, September.
    10. Chong, Ryan & Hudson, Robert & Keasey, Kevin & Littler, Kevin, 2005. "Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1226-1236, December.
    11. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2018. "European trading volumes on cross‐market holidays," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 675-704, October.
    12. Xing Lu & Neel Patel, 2016. "Festivity Anomaly in Indian Stock Market," Economics Bulletin, AccessEcon, vol. 36(2), pages 851-856.
    13. Floros, Christos & Salvador, Enrique, 2014. "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, vol. 37(C), pages 216-223.
    14. Chris Motengwe & Angel Pardo, 2015. "A Study of Seasonality on the Safex Wheat Market," Agrekon, Taylor & Francis Journals, vol. 54(4), pages 45-72, November.
    15. Ilias Tsiakas, 2010. "The Economic Gains Of Trading Stocks Around Holidays," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 1-26, March.
    16. Paulo M. Gama & Elisabete F. S. Vieira, 2013. "Another look at the holiday effect," Applied Financial Economics, Taylor & Francis Journals, vol. 23(20), pages 1623-1633, October.
    17. Gavriilidis, Konstantinos & Kallinterakis, Vasileios & Öztürkkal, Belma, 2020. "Does mood affect institutional herding?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 26(C).
    18. Chong, Terence Tai Leung & Hou, Siqi, 2020. "Will Stock Rise on Valentine’s Day?," MPRA Paper 99058, University Library of Munich, Germany.
    19. Casalin, Fabrizio, 2018. "Determinants of holiday effects in mainland Chinese and Hong-Kong markets," China Economic Review, Elsevier, vol. 49(C), pages 45-67.

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