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Returns to Equity Before and After Holidays: Australian Evidence and Tests of Plausible Hypotheses

Author

Listed:
  • Stephen Easton

    (Department of Accounting and Finance, Monash University, Clayton VIC.)

Abstract
There is evidence that mean equity returns in Australia (as in the U.S.) are positive before and after holidays. Two distinctively Australian features are used to examine this regularity. First, the Australian market is dominated by two exchanges of approximately equal importance. Returns on each exchange before and after days on which only one of the exchanges was closed were examined. Returns preceding the closure were significantly higher on the closed exchange. Second, Australian holidays vary from one to five days. A positive association was found between returns before and after holidays, and holiday duration. These findings support settlement procedure and calendar time hypotheses.

Suggested Citation

  • Stephen Easton, 1990. "Returns to Equity Before and After Holidays: Australian Evidence and Tests of Plausible Hypotheses," Australian Journal of Management, Australian School of Business, vol. 15(2), pages 281-296, December.
    • Handle: RePEc:sae:ausman:v:15:y:1990:i:2:p:281-296
    DOI: 10.1177/031289629001500204
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    References listed on IDEAS

    as
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    Cited by:

    1. Seif, Mostafa & Docherty, Paul & Shamsuddin, Abul, 2017. "Seasonal anomalies in advanced emerging stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 169-181.

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