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Speculation around celebration: Holiday, January, and lottery stocks in Korea

Author

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  • Jeong, Giho
  • Goh, Jihoon
  • Kim, Donghoon

Abstract

This study investigates the holiday effect in the Korean stock market, focusing on lottery-type stocks characterized by high maximum daily returns (MAX). We find that these stocks earn significantly elevated returns before multi-day holidays, reflecting intensified investor optimism. This pre-holiday run-up is particularly pronounced in stocks with high retail trading proportions, where the MAX spread rises sharply prior to the holiday. The post-holiday decline occurs more gradually and is more delayed when retail participation is high, suggesting a slower unwinding of sentiment-driven overpricing. In January, the correction is postponed even further, indicating that the seasonal investor sentiment associated with January amplifies and prolongs holiday-induced optimism. Our findings underscore the behavioral foundations of calendar anomalies, particularly the role of investor sentiment and market composition in shaping return dynamics.

Suggested Citation

  • Jeong, Giho & Goh, Jihoon & Kim, Donghoon, 2026. "Speculation around celebration: Holiday, January, and lottery stocks in Korea," Finance Research Letters, Elsevier, vol. 90(C).
    • Handle: RePEc:eee:finlet:v:90:y:2026:i:c:s1544612325026005
    DOI: 10.1016/j.frl.2025.109351
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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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