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The persistent holiday effect: additional evidence

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  • Paul Brockman
  • David Michayluk

Abstract

The holiday effect is one of the most perplexing of all seasonal anomalies. Based on evidence using pre-1987 equity returns, this anomaly has been shown to be responsible for somewhere between 30 to 50% of the total return on the market while exhibiting below average variances (Lakonishok and Smidt, 1988; Ariel, 1990). The purpose of this paper is to investigate and document the persistence of the holiday effect (or lack thereof) beyond the 1987 period for equities traded on the NYSE, AMEX, and NASDAQ exchanges. Has the holiday effect continued into the 1990s, or have efficient trading rules exploited the anomaly to the point where it no longer exists? The results provide additional evidence into the nature and potential causes of seasonal market anomalies.

Suggested Citation

  • Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.
  • Handle: RePEc:taf:apeclt:v:5:y:1998:i:4:p:205-209
    DOI: 10.1080/135048598354825
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    References listed on IDEAS

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    1. Roll, Richard, 1983. "On computing mean returns and the small firm premium," Journal of Financial Economics, Elsevier, vol. 12(3), pages 371-386, November.
    2. Lakonishok, Josef & Smidt, Seymour, 1984. "Volume and turn-of-the-year behavior," Journal of Financial Economics, Elsevier, vol. 13(3), pages 435-455, September.
    3. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(1), pages 145-157, March.
    4. Rogalski, Richard J, 1984. "New Findings Regarding Day-of-the-Week Returns over Trading and Non-trading Periods: A Note," Journal of Finance, American Finance Association, vol. 39(5), pages 1603-1614, December.
    5. Wilson, Jack W & Jones, Charles P, 1993. "Comparison of Seasonal Anomalies across Major Equity Markets: A Note," The Financial Review, Eastern Finance Association, vol. 28(1), pages 107-115, February.
    6. Ariel, Robert A, 1990. "High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-1626, December.
    7. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
    8. 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.
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