This paper has received financial support from the Spanish Ministry of Science and Innovation (ECO2009-12819). We would like to thank the editor Robert Faff and anonymous reviewers for their helpful comments. We would also like to thank seminar participants at the 2011 EFMA Annual Meeting (Braga, Portugal) and the 2011 ACEDE Annual Congress, (Barcelona, Spain).
The effect of US holidays on the European markets: when the cat’s away…
Version of Record online: 24 NOV 2011
© 2011 The Authors. Accounting and Finance © 2011 AFAANZ
Accounting & Finance
Volume 53, Issue 1, pages 111–136, March 2013
How to Cite
Casado, J., Muga, L. and Santamaria, R. (2013), The effect of US holidays on the European markets: when the cat’s away…. Accounting & Finance, 53: 111–136. doi: 10.1111/j.1467-629X.2011.00460.x
- Issue online: 15 MAR 2013
- Version of Record online: 24 NOV 2011
- Received 22 August 2011; accepted 27 October 2011 by Robert Faff (Editor).
Vol. 54, Issue 4, 1381, Version of Record online: 17 DEC 2014
- Efficient market hypothesis;
- Seasonal effects;
- Behavioural Finance
This paper presents evidence of the existence of a return effect on European stock markets coinciding with New York Stock Exchange (NYSE) holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect is large enough to be exploited by trading index futures. This anomaly cannot be explained by seasonal effects, such as the day of the week effect, the January effect or the pre-holiday effect, nor is it consistent with behavioural finance models that predict positive correlation between trading volume and returns. However, examination of factors such as information volume or investor mix provides a reasonable explanation.