Stock returns around nontrading periods: evidence from an emerging market
I examine intraday stock returns in the Istanbul Stock Exchange (ISE) around nontrading periods - weekends and holidays - by utilizing the exchange's structure of two trading sessions. I find that returns are generally more positive in the last session on Fridays and more negative in the first session on Mondays. The results also indicate that the weekend effect has disappeared in the ISE in recent years. I further find some evidence that there is a relationship between the length of a holiday nontrading period and returns around it. The longer a nontrading period is, the more positive the returns are in the morning session before the holiday and the less positive the returns are in the morning session after the holiday. My findings indicate the importance of the uncertainty imposed on stock returns by the length of a nontrading period.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2011)
Issue (Month): 20 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:21:y:2011:i:20:p:1549-1560. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.