6533b821fe1ef96bd127ad20
RESEARCH PRODUCT
The pan-European holiday effect
Oscar CarchanoAngel Pardosubject
Economics and EconometricsPan europeanFinancial economicsStock exchangeAccountingFinancial marketEconomicsVolatility (finance)FinanceSimulation methodsdescription
The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2015-03-02 | Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad |