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Lookup NU author(s): Professor Robert Hudson
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The pre-holiday effect is one of the best known of the calendar effect anomalies. This paper extends prior work by examining whether the effect has declined for the U.S., U.K. and Hong Kong markets. For all three markets, the effect is shown to have declined, but only significantly in the U.S. The result is not surprising given the relative sophistication of the market. What is surprising, however, is the reversal of the pre-holiday effect during the period 1991–1997, with the mean return on pre-holiday days becoming negative, and the subsequent elimination of this effect during 1997–2003.
Author(s): Chong R, Hudson R, Keasey K, Littler K
Publication type: Article
Publication status: Published
Journal: Journal of International Money and Finance
ISSN (print): 0261-5606
ISSN (electronic): 1873-0639
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