Marrett, George; Worthington, Andrew - In: Applied Economics Letters 16 (2009) 17, pp. 1769-1772
This note examines the holiday effect in Australian daily stock returns at the market and industry level and for small capitalization stocks from Monday 9 September 1996 to Friday 10 November 2006. The eight annual holidays specified are New Years Day, Australia Day (26 January), Easter Friday...