Holiday Effect and Stock Returns: Evidence from Stock Exchanges of Gulf Cooperation Council

Abstract

One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf Co-operation Council, namely, Kuwait, Bahrain, Qatar, Oman, Saudi Arabia, and the United Arab Emirates for the period between January 2009 and December 2020. The national holidays that are considered for the study are New Year’s Day, Mawlid al-Nabi (Prophet birthday), Eid-Al-Isra Wal Miraj, Eid-Al-Fitr, National Day, Hegire Day (Islamic New Year), and Christmas Day. The study employs descriptive statistics and the non-parametric Mann–Whitney U test. The findings of the study disclosed the significant pre-holiday mean returns for ADSMI, BHSEASI, DFMGI, MSM30, TASI and FTDKUW, whereas significant post-holiday mean returns were found only in MSM30 and TASI. The study provided evidence for the presence of a calendar anomaly like holiday effects in the major indices of the Gulf Co-operation Council and proved the market was not in an efficient form during the study period.

Public holidays effects on volatility in Shanghai stock exchange market

“…Asymmetry effect is detected in stock markets of many countries (for example, see (Black, 1976;Chelley-Steeley & Steeley, 2005;Long, Tsui, & Zhang, 2014;Mazur, Dang, & Vega, 2021)). The holiday effect is discussed from two aspects: (i) one is the holiday effect on the stock return (Ariel, 1990;Bergsma & Jiang, 2015;Pinto, Bolar, Hawaldar, George, & Meero, 2022;Yen & Shyy, 1993) and (ii) another is that on the stock volatility (Andersen, 1996;Tanizaki, 2004;Tsiakas, 2005Tsiakas, , 2010Watanabe, 1999). In addition, McGuinness (2005); Mitchell and Ong (2006); Kuo, Coakley, and Wood (2010) and…”

Holiday effect di Bursa Efek Indonesia, di Bursa Efek Amerika dan di Bursa Efek Jepang sebelum, sesaat dan sesudah pandemi covid-19

“…Fields (1934) dalam Seif et al (2017) menemukan adanya proporsi tertinggi pada pemilihan hari perdagangan saham sebelum hari libur. Meril (1966) dalam Pinto et al (2022) juga menemukan adanya frekuensi yang tidak proporsional pada kelebihan Dow Jones Industrial Avarage pada hari sebelum hari libur selama periode 1897 sampai dengan 1965. Rogalski (1984) dalam Rossi (2015) menemukan bahwa seluruh rata-rata return negatif dari penutupan Jumat ke penutupan Senin.…”