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Holiday effects during quiet and turbulent times

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2012): Holiday effects during quiet and turbulent times. Published in: The Proceedings of the 14th International Conference AFASES - “Scientific Research and Education in the Air Force” (19 May 2012): pp. 57-62.

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Abstract

The objective of the paper is to examine the possible holiday effects in the stock returns from a group of 28 countries. In our investigation we employ daily values of some representative indexes from January 2000 to December 2011. We split this sample in two sub-samples: before and during the global crisis. We identify the pre or the post holiday effects using regressions with dummy variables. The results indicate significant changes from the pre-crisis period to the crisis period. We find that such changes were more consistent in the case of emerging markets in comparison with the advanced financial markets.

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