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Fabozzi was visiting the Sloan School of Management at MIT when this paper was written. Ma is from Texas Tech University and the Investment Research Company. Briley is from Texas Tech University. We appreciated the comments of the anonymous referee, the editor René Stulz, and the participants of the Finance Seminar at Texas Tech University. We are grateful to Derek Milner and Dewayane Richardson for research assistance.
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Holiday Trading in Futures Markets
Article first published online: 30 APR 2012
DOI: 10.1111/j.1540-6261.1994.tb04432.x
1994 The American Finance Association
Additional Information
How to Cite
FABOZZI, F. J., MA, C. K. and BRILEY, J. E. (1994), Holiday Trading in Futures Markets. The Journal of Finance, 49: 307–324. doi: 10.1111/j.1540-6261.1994.tb04432.x
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Fabozzi was visiting the Sloan School of Management at MIT when this paper was written. Ma is from Texas Tech University and the Investment Research Company. Briley is from Texas Tech University. We appreciated the comments of the anonymous referee, the editor René Stulz, and the participants of the Finance Seminar at Texas Tech University. We are grateful to Derek Milner and Dewayane Richardson for research assistance.
Publication History
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
- Abstract
- References
- Cited By
ABSTRACT
In this paper, we find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange-closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange-open holidays. This is consistent with positive holiday sentiments. The holiday effect is uniquely independent: The magnitude of excess holiday returns is the largest among all seasonal variations.