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The effect of US holidays on the European markets: when the cat’s away…
Author(s) -
Casado Jorge,
Muga Luis,
Santamaria Rafael
Publication year - 2013
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2011.00460.x
Subject(s) - futures contract , january effect , financial economics , stock (firearms) , anomaly (physics) , economics , stock exchange , stock index futures , names of the days of the week , closing (real estate) , monetary economics , econometrics , stock market , stock market index , finance , geography , context (archaeology) , physics , archaeology , condensed matter physics , linguistics , philosophy
This paper presents evidence of the existence of a return effect on European stock markets coinciding with New York Stock Exchange (NYSE) holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect is large enough to be exploited by trading index futures. This anomaly cannot be explained by seasonal effects, such as the day of the week effect, the January effect or the pre‐holiday effect, nor is it consistent with behavioural finance models that predict positive correlation between trading volume and returns. However, examination of factors such as information volume or investor mix provides a reasonable explanation.