Managerial and Financial Accounting, Vol.
Levy calendar anomalies have long been part of market tradition. Studies of the day-of-the-week, holiday and January effects first began to appear in the s and although academics have only recently begun seriously to examine these return patterns, they have found them to survive close study.
Calendar regularities generally occur at cusps in time the turn of the year, the month, the week, the day and the Holidays. They often have significant economic impact. For example, the "Blue Mon- day" effect was so strong during the Great Depression that the entire market crash took place over weekends, from Saturday's close to Monday's close.
The stock market actually rose on average every other day of the week. Levy, Lakonishok and Smidt find that stock market returns for the days previous to holidays are significantly higher than returns for other days. Lakonishok and Smidt, Pettengill shows that while Preholiday and other day's returns differ significantly, preholiday returns differ by holiday, firm size, and day of the week on which the holiday falls.
Various theories have been proposed to explain the type of return generating process nearby holidays. Since holidays are often considered another type of market closing, similar to weekends, it seems reasonable that an explanation for one might help explain the other.
For example, if the weekend effect could be explained by conclusion actions, then this case is relevant because holidays can delay conclusion for up to two days and could have an effect on returns up to a week previous to the holiday.
Pettengill, Jacobs and N. Levy holiday differences appear fairly constant over time. In the most recent decade, however, pre-holiday returns have not been exceptional.
This study investigates the impact of Jewish holidays on stock market returns. While Jewish individuals comprise only 2 percent of the US population (US Census Literature review Ariel () and Sullivan et al. () studied holiday-effects on stock market returns. INDIAN STOCK MARKET - REVIEW OF LITERATURE Ms. Anju bala* *Research Scholar, Amity College of Commerce & Finance, Amity University, Noida, India. ABSTRACT Stock Market is one of the most vibrant sectors in the financial system, marking an important contribution to economic development. Stock Market is a place . 2 Introduction Field () firstly revealed that stock returns tend to increase during the trading days prior the holidays, and this is the first statement about the existence of holiday.
But the effect does not appear to be a statistical object. The settlement process discuss as a potential explanation for the day of the week effect has complex implication for fluctuations in value around holidays. For example this theory predicts a high Thursday return proceeding a Friday holiday, which is what occurs.
But it forecast a lower than average Friday return preceding a Monday holiday, and this is not consistent with practical results. Moreover, the size of any value changes occurring because of settlement procedures is much too small to account for the holiday effect. Abnormal pre-holiday returns are not attributable to increased risk.
Another perspective is afforded by holidays not associated with market closings, like St. Patrick's Day or Rosh Hashanah. Such days do not experience abnormal returns.
The absence of abnormal returns may be due to the lack of a trading break or to a lower level of event than that associated with major market holidays. Levy, Kim and J.The finance literature documents substantial evidence of pre-holiday positive returns of public holidays in both developed and emerging stock markets, perhaps due to the positive holiday sentiment.
* Each market will close early at p.m. ( p.m. for eligible options) on Tuesday, July 3, and Wednesday, July 3, Crossing Session orders will be accepted beginning at p.m. for continuous executions until p.m. on this date, and NYSE American Equities, NYSE Arca Equities.
NYSE Holiday Closings The New York Stock Exchange (NYSE) is open Monday through Friday, a.m. to p.m.
EST. However, it closes for official U.S. holidays or in the event of a major disruption. Literature Review Many researchers have studied the phenomenon of seasonalities in price movements in stock markets, of calendar effects, like the behavior of daily returns after holidays, or the behavior of returns in the stock market and observe significant higher returns in January than in the other months of the year.
Also, Gultekin. Int. J. Managerial and Financial Accounting, Vol. 7, Nos. 3/4, The efficient market hypothesis and calendar anomalies: a literature review Matteo Rossi DEMM Department, University of Sannio, Via delle Puglie, 82, Benevento, Italy Email: [email protected] Abstract: One of the most important principles used in measuring the market’s efficiency is the ability of prices to.
REVIEW OF LITERATURE Dr. Sandeep Assistant Professor (Commerce) ARSD College study concludes that the Indian stock market follows all three forms of market efficiency i.e Turn of the year, month, week and holidays are reported to have consistently generated abnormal equity returns, unrelated to the attendant risks, at the developed.