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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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