This paper examines the holiday effect presence of on the Romanian stock market. We perform regressions with dummy variables and daily values of some from the main indexes of the Bucharest Stock Exchange. The results indicate a post-holiday effect for all the indexes and a pre-holiday effect...

The objective of the paper is to examine the possible holiday effects in the stock returns from a group of 28 countries. In our investigation we employ daily values of some representative indexes from January 2000 to December 2011. We split this sample in two sub-samples: before and during the...