Stock returns behavior during holiday periods: evidence from six countries

Purpose – The study is a test for the existence of an international stock market anomaly. Design/methodology/approach - To test for holiday anomalies over a ten year period, the study examines six major international indices using dummy variable regressions with continuous data and simple regression analysis with discrete data points. Findings - Evidence is presented both for the existence of an ex-post holiday anomaly for all exchanges tested and for the international effect of the ex-post holiday reaction on other exchanges. The results differ from all prior holiday anomaly studies in finding a significant holiday reaction following, not preceding, the holiday. Practical implications - Future holiday periods may be used to capture profits from closed markets. Originality/value - The findings are of value to international portfolio managers and investors.