Pre and Post-Holiday Effects: Evidence from Developed Countries and Developing Countries Stock Markets

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Kotchakorn Charoenying
Oraphan Naksuriyawong
Atchara Champa
Athimet Chetteeraphat
Suchanphin Suwanaphan

Abstract

This research aims to study the market anomalies of pre-holiday and post-holiday, which affect the returns of stock markets in developed countries and developing countries. The data used for the analysis is collected from 10 developed countries and 10 developing countries for 10 years between 2007 and 2017. This research calculated the average abnormal returns (AAR) and the cumulative average abnormal returns (CAAR) to testing the holiday effect with efficient market hypothesis. The results revealed that all sample countries related to CAAR for 2 days before holidays and after holiday for 4 days significantly. Moreover, in the group of developed countries found the significant result of pre-hoilday for 2 days (t-2) but it did not found the significant result of post-holiday. Whereas the developing countries found CAAR between pre-holiday and post-holiday (t-1 to t+4), which means that the stock markets of the sample countries have low efficiency, and investors can arbitrage in the stock markets.

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How to Cite
Charoenying, K., Naksuriyawong, O., Champa, A., Chetteeraphat, A., & Suwanaphan, S. (2020). Pre and Post-Holiday Effects: Evidence from Developed Countries and Developing Countries Stock Markets. WMS Journal of Management, 9(4), 29-40. Retrieved from https://so06.tci-thaijo.org/index.php/wms/article/view/245362
Section
Research Articles-Academic Articles
Author Biographies

Kotchakorn Charoenying

Department of Finance, Faculty of Business Administration, Chiang Mai University

Oraphan Naksuriyawong

Department of Finance, Faculty of Business Administration, Chiang Mai University

Atchara Champa

Department of Finance, Faculty of Business Administration, Chiang Mai University

Athimet Chetteeraphat

Department of Finance, Faculty of Business Administration, Chiang Mai University

Suchanphin Suwanaphan

Department of Finance, Faculty of Business Administration, Chiang Mai University

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