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Pre-Holiday Effects: International Evidence on the Decline and Reversal of a Stock Market Anomaly

Lookup NU author(s): Professor Robert Hudson

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Abstract

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.

Publication metadata

Author(s): Chong R, Hudson R, Keasey K, Littler K

Publication type: Article

Publication status: Published

Journal: Journal of International Money and Finance

Year: 2007

Volume: 24

Issue: 8

Pages: 1226-1236

ISSN (print): 0261-5606

ISSN (electronic): 1873-0639

Publisher: Pergamon

URL: http://dx.doi.org/10.1016/j.jimonfin.2005.08.015

DOI: 10.1016/j.jimonfin.2005.08.015

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