The holiday effect in Central and Eastern European financial markets

Transcription

1 The holiday effec in Cenral and Easern European financial markes AUTHORS ARTICLE INFO JOURNAL FOUNDER Olga Dodd Alex Gakhovich Olga Dodd and Alex Gakhovich (211). The holiday effec in Cenral and Easern European financial markes. Invesmen Managemen and Financial Innovaions, 8(4) "Invesmen Managemen and Financial Innovaions" LLC Consuling Publishing Company Business Perspecives NUMBER OF REFERENCES NUMBER OF FIGURES NUMBER OF TABLES The auhor(s) 218. This publicaion is an open access aricle. businessperspecives.org

2 Invesmen Managemen and Financial Innovaions, Volume 8, Issue 4, 211 Olga Dodd (New Zealand), Alex Gakhovich (New Zealand) The holiday effec in Cenral and Easern European financial markes Absrac This sudy invesigaes he holiday effec in 14 emerging Cenral and Easern European (CEE) markes. The auhors show ha he holiday effec is presen in he CEE region, wih a number of counries showing abnormal pre-holiday reurns. In addiion o previous lieraure, we also documen abnormal pos-holiday reurns. The pre-holiday effec is mos pronounced in he earlier years of financial marke operaions, and is imporance is declining over ime. This suggess an improvemen in marke efficiency in he CEE markes since he opening of sock exchanges. New Year and Chrismas produce he highes reurns. Liquidiy before holidays goes down. Keywords: holiday effec, marke efficiency, emerging markes. JEL Classificaion: G14. Inroducion The phenomenon of abnormal reurns around public holidays is known as he holiday effec and has been well documened in he US and oher developed and emerging markes. For insance, Lakonishok and Smid (1988) sudy reurns one day before and afer holidays in he US and find significan abnormal reurns before holidays. Pos-holiday reurns are insignifican unil 1952 and posiive and significan from 1952 o Ariel (199) examines inraday marke reurns and documens a significan preholiday effec. Over he pre-holiday period sock prices increase and have a much higher frequency of posiive reurns, paricularly in he las hour. Abnormal pre-holiday reurns are documened across differen sizes of companies (Peengill, 1989) and across counries, e.g., he UK and Japan (Kim and Park, 1994), Hong Kong (McGuiness, 25) and Spain (Menue and Pardo, 24). Unlike some oher anomalies, he pre-holiday effec seems o be persisen over ime (Lakonishok and Smid, 1988). There is lile research on he pre-holiday effec in CEE markes 1. CEE counries are ransiional economies and an imporan quesion is how efficien hese markes are. These markes have only opened up in he 199s afer he collapse of he Sovie Block. This means ha exchanges in hese counries have been operaing for less han 2 years and ha an undersanding of financial markes could be limied. In his sudy, we use daily index daa for he 14 CEE counries o analyze he presence and persisence of he holiday effec over ime. In addiion, we examine rading volumes o beer undersand sock reurn behavior before holidays. The main findings of he sudy are as follows. We find evidence sup- Olga Dodd, Alex Gakhovich, Tonchev and Kim (24) are firs o invesigae a number of anomalies in he following markes: Czech Republic, Slovakia and Slovenia and find weak evidence for marke anomalies using four and a half years of daa. porive of a holiday effec in he CEE region for he pooled sample and for 1 ou of he 14 CEE markes. We documen significan boh pre- and posholiday abnormal reurns. The holiday effec is driven by common holidays, such as Chrismas, Easer and New Year, while reurns around oher holidays are insignifican. Furher, we documen ha he preholiday effec, while sill presen, is weakening over ime for mos markes. This indicaes ha overall marke efficiency has improved and is consisen wih previous findings of Iorgova and Ong (28). We find no significan decrease for he pos-holiday effec, however. Addiional analysis of sock urnover shows less rading aciviy before public holidays for mos companies analyzed, consisen wih he socalled gone fishin effec (Hong and Yu, 29). This sudy provides new evidence on he exisence of a holiday effec in CEE markes and conribues o he lieraure on he efficiency of emerging financial markes. The findings could be relevan o invesors o inform heir invesmen decisions. The res of he paper is srucured as follows. Secion 1 provides a discussion of previous lieraure and proposes a behavioral explanaion for he holiday effec. Secion 2 describes he daa while secion 3 discusses our findings. The final secion concludes. 1. Background 1.1. Previous lieraure. According o he efficien marke hypohesis (EMH) by Fama (197), sock prices follow a random walk and pas informaion canno be used o predic he fuure. Therefore, here should be no abnormal reurns on special occasions such as holidays, as hese holidays are: 1) predeermined; and 2) conain no relevan informaion for sock prices. However, evidence agains he EMH is growing, and numerous sudies have documened reurn predicabiliy (see Ang and Bekaer, 27; and Campbell and Moohiro, 26), including predicabiliy around public holidays. 29

3 Invesmen Managemen and Financial Innovaions, Volume 8, Issue 4, 211 Lakonishok and Smid (1988) documen significan reurns on days before US public holidays. These pre-holiday reurns are wo o five imes higher han reurns before a weekend and 23 imes higher han hose on normal days. These resuls are confirmed by several oher sudies, such as Peengill (1989) and Ariel (199). Significan pre-holiday reurns also exis in oher markes. For example, Meneu and Pardo (24) find significan pre-holiday effecs in Spain; Cao e al. (29) find significan pre-holiday effecs in he New Zealand marke; and Marre and Worhingon (29) documen pre-holiday effec in Ausralia. These sudies all focus on developed financial markes. A number of sudies have also examined he posholiday effec. Lakonishok and Smid (1988) find insignifican pos-holiday reurns unil 1952 and significan posiive reurns aferwards. However, Kim and Park (1994) documen negaive posholiday reurns for he UK, and Lee e al. (199) for Korea and Singapore. Also, Tonchev and Kim (24) show insignifican pos-holiday reurns for several CEE markes. The magniude and saisical significance of preholiday reurns may vary on specific holidays. Reurns prior o religious holidays end o be higher han reurns of oher holidays. Chan e al. (1996) show significan pre-holiday effecs before culural holidays in Asia. More specifically, hey show ha in India here is a pre-holiday effec before Hindu holidays; in Malaysia here are significan reurns before Islamic New Year and Vesak; Singapore sees abnormal reurns before Chinese New Year; and in Thailand small companies have significan abnormal reurns before Chinese New Year. In New Zealand mos significan reurns are before he Easer holidays (Cao e al., 29). Bley and Saad (21) show significan reurns for he Middle Easern religious holidays in he Middle Eas. Several sudies examine sock liquidiy around public holidays. Meneu and Pardo (24) analyze sock urnover of he five mos raded companies in he Spanish sock marke and find no significan difference beween he pre-holiday and normal days Behavioral argumens for he holiday effec. One possible explanaion for abnormal posiive reurns around public holidays comes from behavioral finance (Thaler, 1999). Kavanagh and Bower (1985) sudy he effec of happiness and sadness on human behavior and find ha happier people end o believe in more posiive oucomes. This argumen is suppored by Hirshleifer and Shumway (23) who sugges ha he weaher may have a psychological effec on invesors mood and how hey perceive 3 informaion. They empirically suppor his by esablishing a link beween he weaher and sock marke reurns, where reurns of 24.8% and 8.7% are documened on sunny and cloudy days respecively. This behavioral rai of invesors may also explain he exisence of he holiday effec, as invesors oulook can become more posiive around public holidays. 2. Daa The sample conains 14 CEE counries: Bulgaria, Croaia, Czech Republic, Esonia, Hungary, Lavia, Lihuania, Poland, Romania, Russia, Serbia, Slovakia, Slovenia and he Ukraine. Price daa for naional sock indices are colleced from Daasream for he period from January 1, 1991 o December 31, 21. Table 1 provides a lis of he counries and daes when index daa become available. For wo markes daa are available from 1991 (Hungary and Poland), Slovakia and Czech Republic have daa since 1993 and 1994, respecively, and Serbia has he leas available daa, saring from 27. All oher markes have opened in beween. Table 1. Sample counries The able repors a lis of he counries included in he sample. Specified daes indicae when daa become available. Marke Daa available from Marke Daa available from Bulgaria Ocober 2, 2 Poland April 16, 1991 Croaia January 2, 1997 Romania Sepember 19, 1997 Czech Republic April 6, 1994 Russia Sepember 1, 1995 Esonia June 3, 1996 Serbia December 25, 26 Hungary January 2, 1991 Slovakia Sepember 14, 1993 Lavia December 31, 1999 Slovenia March 31, 26 Lihuania December 31, 1999 Ukraine Ocober 3, 1997 We use closing prices of he naional sock marke index o calculae sock marke reurns, i.e., R i ln( PIi ) ln( PIi 1), (1) where R i is he reurn on he sock marke index of marke i on day and PI i is he index level for marke i on day. Holiday daes are gahered from a variey of sources. Firs, he Time and Dae websie is used o creae a lis of holidays and heir daes over ime 1. The websie provides all public holidays for eigh of he counries. For he oher counries, we use websies of he naional minisry of foreign affairs o collec he names and daes of official public holidays. In addiion, we use naional sock exchanges websies o check he public holidays and marke closing daes for he holidays. Lasly, he Q++Sudio websie 2 provides news on changes and announce- 1 hp:// 2 hp://

4 mens of public holidays. We search Q++Sudio for any changes o public holidays, such as he inroducion, removal or change of a public holiday 1. We classify holidays ha follow direcly on o each oher, such as Easer holidays (Good Friday and Easer Monday), as a single holiday. When a public holiday falls on a Monday, we use he las rading day (Friday) o compue he pre-holiday reurn. When a public holiday falls on a weekend hen Monday becomes a day off for some of he holidays. In his case, Friday reurns are considered o be preholiday and Tuesday reurns become pos-holiday reurns. In some counries, such as Slovakia, he marke closes for a long period during he New Year holiday. For example, index was closed saring from December 23, 23 o January 7, 24 (firs Invesmen Managemen and Financial Innovaions, Volume 8, Issue 4, 211 rading day in 24). In his case pos-holiday reurn is considered o be he 7h of January Resuls Table 2. Non-parameric es 3.1. Non-parameric ess of he holiday effec. Firs, we perform a non-parameric 2 es following Ariel (199), o analyze he pre- and pos-holiday effec in CEE markes. We compue 2 -saisics o es wheher he proporion of posiive pre- or pos-holiday reurns is significanly differen from he proporion of posiive reurns on normal days. Specifically, 2 2 2( O E), (2) E where O is he acual number of posiive pre- or pos-holiday reurns and E is he expeced number of days wih posiive pre- or pos-holiday reurns. The able repors he proporion of posiive reurns for naional indices of each marke for he sample period of Preholiday is he las rading day before he public holiday and pos-holiday is he firs rading day afer he public holiday. The able furher repors he 2 -saisic o es significance of proporion of posiive pre- and pos- holiday reurns. Counry % of posiive oal days % of posiive pre-holidays 2 - sa % of posiive posholidays Bulgaria 49.81% 58.97% %.1 Croaia 47.17% 59.33% 9.42*** 53.69% 2.7 Czech Republic 48.39% 57.25% % 2.6 Esonia 51.63% 66.% 8.*** 58.59% 1.9 Hungary 5.11% 5.61% % 12.2*** Lavia 49.67% 55.26% %.3 Lihuania 5.98% 66.7% 1.1*** 53.57%.3 Poland 45.6% 5.31% % 21.7*** Romania 49.64% 66.15% 7.14*** 54.69%.7 Russia 5.85% 64.86% 8.58*** 61.82% 5.2** Serbia 43.95% 68.42% 5.18** 5.%.3 Slovakia 44.41% 55.49% 9.7*** 48.17% 1 Slovenia 5.% 61.36% % 1.1 Ukraine 5.58% 56.% % sa In Table 2, we repor he resuls for he nonparameric ess for he 14 CEE counries. For Croaia, Esonia, Lihuania, Romania, Russia, Serbia and Slovakia we find ha he rading day before holidays has a significanly higher proporion of posiive reurn days han normal days. Hence, we find evidence of a significan pre-holiday effec for half of our sample counries. We furher observe a significan pos-holiday effec (where he proporion of posiive reurn days is greaer han on normal days) for 3 counries (Hungary, Poland and Russia). This is a firs indicaion of he presence of he holiday effec in he 1 CEE region. 1 Holiday changes over ime include Russian Consiuion Day (December 12) which is replaced wih Uniy Day on 4h of November. Defender s Day (23rd of February) became a public holiday in 22. Czech Republic inroduced S. Wencesles as a new public holiday in Reurns around public holidays. As a more formal analysis of he pre- and pos-holiday effec, we follow Cao e al. (29) and use a dummy variable regression o evaluae pre- and pos-holiday reurns. For each marke and for all markes joinly, we esimae he following equaion: R PRE 1D 2 D, (3) PRE where D and D are dummy variables ha equal one for a day before and afer a holiday respecively, and zero oherwise; capures he average reurn on normal days, and he pre- and posholiday effecs are capured by 1 and 2, respecively. Equaion (3) is esimaed by OLS and sandard errors are compued using Newey-Wes s correcion. For he pooled sample, sandard errors are clusered by counry (see Peersen, 29). 31

5 Invesmen Managemen and Financial Innovaions, Volume 8, Issue 4, 211 Table 3. Pre- and pos-holiday reurns The able repors he resuls for equaion (3). PreHol and PosHol are coefficien esimaes on he pre- and pos-holiday dummy variables. We repor -saisics calculaed using Newey-Wes correcions. Pooled sample regression is esimaed by OLS wih sandard errors clusered by counry. Counry Normal days T-sa PreHol T-sa PosHol T-sa Pooled sample.3*** *** ** 2.66 Bulgaria *** Croaia *** Czech Republic ** Esonia ** Hungary.5 * ** Lavia Lihuania ** Poland.6 * *** Romania Russia * ** 2.22 Serbia * Slovakia ** Slovenia Ukraine Noes: *** is 1% significance, ** is 5% significance, and * is 1% significance. In Table 3, we repor he resuls of equaion (3). Normal day, pre- and pos-holiday reurns along wih heir robus -saisic are repored for a pooled sample and for each counry. In he pooled sample, we find significan evidence for boh a pre- and pos-holiday effec, where we find posiive effecs for boh. When we break he sample down ino specific counries, we find ha Bulgaria, Croaia, Lihuania, Russia and Serbia exhibi posiive and significan pre-holiday reurns. The insignificance of he pre-holiday effec in Czech Republic, Slovakia and Slovenia is in line wih Tonchev and Kim (24). For he pos-holiday reurns, we find ha he Czech Republic, Esonia, Hungary, Poland and Russia have posiive and significan reurns, while he Slovakia has negaive significan reurns. In conras o Tonchev and Kim (24), we find significan pos-holiday reurns for Czech Republic and Slovakia 1. Overall, for 1 sock markes we find significan pre- or pos-holiday effecs and, in general, our findings confirm prior empirical evidence on he exisence of he holiday effec. Research by Chan e al. (1996) and Cao e al. (29) shows ha some holidays lead o higher reurns han ohers. To es his, we exend equaion (3) by including dummies for specific holidays, R D 32 D j, PRE j, j j, (4) 1 Since our mehodology is similar o he mehodology used by Tonchev and Kim (24), he difference in he findings on he pos-holiday effec could be aribued o he differences in he samples. In paricular, we employ significanly longer ime series compared o Tonchev and Kim (24). For example, he sample in Tonchev and Kim (24) includes observaions for Czech Republic and Slovakia from January 1999 and for Slovenia from July 2 and unil June 23 for all hree markes. j PRE D, and j D, where are dummy equals one for a day before/afer a specific holiday j and zero oherwise; capures he average reurn on normal days, and he pre- and pos-holiday effecs for he specific holiday j are capured by j and j, respecively. Table 4. Specific holiday effec The able repors resuls for he specific holidays in CEE sock markes (see equaion (4)). The regression is esimaed for he pooled sample by OLS and sandard errors are clusered by counry. Holidays Reurns T-sa Chrismas (pre-holiday).6*** 4.3 Chrismas Orhodox (pre-holiday).6.31 Easer (pre-holiday).2** 2.49 Easer Orhodox (pre-holiday) New Year (pre-holiday).7*** 2.99 Oher holidays (pre-holiday).2.57 Chrismas (pos-holiday).4* 1.76 Chrismas Orhodox (pos-holiday) Easer (pos-holiday).3** 2.23 Easer Orhodox (pos-holiday) New Year (pos-holiday).8** 2.75 Oher holidays (pos-holiday) Normal days (inercep).3*** 4.65 Noes: *** is 1% significance, ** is 5% significance, and * is 1% significance. In Table 4, we repor resuls for equaion (4) including reurn coefficien and robus (Newey-Wes) - saisics 2. From his able, we can observe ha here is a significan pre- and pos-holiday effec for hree main holidays: Chrismas, Easer and New Year. 2 To conserve space we only repor resuls for he pooled sample. Resuls for individual counries are available upon reques.

6 This suggess ha he holiday effec in CEE markes is driven by hese hree common holidays. Holidays celebraed exclusively in he region do no produce significan abnormal reurns. R PRE PRE 1D 1D 2D 2 Invesmen Managemen and Financial Innovaions, Volume 8, Issue 4, 211 As a furher robusness es, we follow Cao e al. (29) and examine he persisence of he holiday effec over ime. We es his by adding a ime rend o equaion (3), i.e. D, (5) where 1 and 2 capure he persisence of he pre- and pos holiday effecs, respecively. Table 5. Persisence of he holiday effec The able repors he resuls for equaion (5). PreHol (PosHol) is he coefficien on he pre-(pos-)holiday dummy variable and PreHol Trend and PosHol Trend capure he ime rends. The able repors -saisics (in parenheses) calculaed using he Newey- Wes correcion. The pooled sample regression is esimaed by OLS wih sandard errors clusered by counry. Pooled sample Bulgaria Croaia Czech Republic Esonia Hungary Lavia Lihuania Poland Romania Russia Serbia Slovakia Slovenia Ukraine Counry Normal days PreHol PreHol rend PosHol PosHol rend.3*** (4.62) (.92).1 (.44) -.1 (-.47) (1.4).5* (1.83) (1.21) (1.56).1* (1.77) (.96) (.74) -.8 (-1.46).3 (.91) (-.61) (.77).6*** (4.21).1 (1.5).6** (2.31).4 (1.28).8*** (2.68).5 ** (2.3) (-.9) -.1 (-.49).2 (.56) -.8 (-.12).17** (2.9).3 (.7).4 (.83) -.5 (-.19).21 (1.61) Noe: *** is 1% significance, ** is 5% significance and * is 1% significance. In Table 5, we repor he resuls for equaion (5). For he pooled sample we find ha, in addiion o he exisence of he pre-holiday effec, here is a significan negaive ime rend, i.e., he pre-holiday effec is decreasing. For he pos-holiday effec, we also find ha he pos-holiday effec is presen; however, alhough being negaive, he ime rend is insignifican. A he counry-level we find ha he pre-holiday effec is sill significan in he Bulgaria, Croaia, Czech Republic, Esonia, Hungary and Russia. In oal 9 ou of 14 markes show negaive rend coefficiens. However, only Esonia, Hungary, Lihuania and Russia show significan decreases. For he pos-holiday effec, we find ha alhough mos of he rend coefficiens are negaive, none of hem are significan. Overall, he negaive *** (-3.28) -.7 (-1.2) (-1.29) -.2 (-.68) -.7*** (-2.71) - ** (-2.15).2 (.44) * (1.81) -.1 (-.27) (.67) -.1* (-1.75) (.37) (-.82).1 (1.27) -.1 (-1.58).3** (2.46).3 (.72).5 (.96) - (-.11).1* (1.64).6 (.15).5 (1.18).1 (.55).8** (1.95).14* (1.88).8 (.87).1 (1.2) -.3 (-.75).3 (.93).11 (1.11) -.1 (-.59) (-.51) -.5 (-.99).3 (.96) -.5 (-1.7).2 (.78) -.6 (-.96) -.2 (-.8) (-1.11) -.1 (-1.26) -.1 (-.7) -.2 (-.8).5 (.12) (-.49) -.1 (-.81) rend of he pre-holiday reurns suggess ha he effec is slowly decreasing, and ha he markes in hese counries may become more efficien Liquidiy effecs. To look deeper ino wha may cause he holiday effecs, we consider he liquidiy of socks in hese markes on pre-holiday days. As liquidiy of indices canno be assessed we use company-level daa. Following Meneu and Pardo (24), we analyze he rading paerns before holidays. We examine liquidiy of individual socks using urnover by volume for 6 counries: Czech Republic, Hungary, Poland, Russia, Romania and Slovenia 1. For 1 The oher counries do no have enough daa for any meaningful analysis. 33

7 Invesmen Managemen and Financial Innovaions, Volume 8, Issue 4, 211 each counry, he five larges companies are seleced and volume daa are colleced from Daasream 1. We calculae urnover as he number of shares raded on a day divided by he number of ousanding shares. Following Meneu and Pardo (24), normalized urnover by volume is calculaed as: Table 6. Sock urnover V i DVi, (6) AVi where DV i is he normalized urnover for a sock i on a day, V i is he rading volume for sock i and AV i is he average rading volume for sock i. The able repors normalized sock urnover for normal days and pre-holidays. T-saisics are used o es he equaliy of means beween normal days and pre-holidays. Chez Republic Company CEZ ERS KOM STE NWR Normal days Pre-holiday saisic Hungary Company EGI MMG MTK OTP RIC Normal days Pre-holiday saisic Company KGH PKA PKB PLK TP Normal days Pre-holiday saisic * *.163 Poland Romania Company BRD TEL TGN TLV SNP Normal days Pre-holiday saisic ** ** ** Company GAZ GMK LKO SBE RSF Normal days Pre-holiday saisic *** 2.62 ** 2.39 ** Russia Slovenia Company KRK MER NOE PET TEL Normal days Pre-holiday saisic * **.66 Noe: *** is 1% significance, ** is 5% significance and * is 1% significance. Table 1 6 presens he resuls of he sock urnover analysis. More specifically, normalized sock urnover is repored for normal days and pre-holidays for he five larges companies. T-ess are performed o examine he equaliy of urnover of normal days and preholidays. We es wheher urnover is equal for normal days and pre-holidays. The resuls show ha 23 ou of 3 companies have lower volumes a day before holidays. This is consisen wih Cao e al. (29) and Meneu and Pardo (24) who show ha here is less 1 The chosen five larges socks for each counry make up a significan proporion of he oal index capializaion. For example, he five Polish companies conribue 55% of capializaion of he oal Polish marke, while he Hungarian companies make up 96% of oal marke capializaion. 34 rading before holidays. Significanly lower urnover can be seen in hree Russian and Romanian companies, and wo Polish and Slovenian companies. This is consisen wih he gone fishin effec (Hong and Yu, 29). Conclusion This sudy examines he holiday effec in he emerging markes of Cenral and Easern Europe for he period from 1991 o 21. We use a sample of foureen CEE counries o analyze pre-holiday and posholiday reurns. We addiionally examine sock marke reurns around specific public holidays and he persisence of he holiday effec. Lasly, we evaluae sock liquidiy before holidays.

8 References Invesmen Managemen and Financial Innovaions, Volume 8, Issue 4, 211 Our sudy confirms he presence of significanly posiive pre- and pos- holiday reurns. The pre-holiday resuls are in line wih e.g., Cao e al. (29) and Meneu and Pardo (24). The pos-holiday resuls conras he findings of Tonchev and Kim (24), who employed significanly shorer ime period for hree of CEE markes, and Lee e al. (199), who invesigaed developed markes in he 198s; boh of hese sudies find no significan pos-holiday effec. Our sudy conribues o he exising evidence on he holiday effec as i provides new evidence on pos-holiday sock marke reurns. Furher analysis by specific holidays shows ha he holiday effec in CEE markes is driven by abnormal reurns around common holidays: Chrismas, New Year and Easer. Pre-holiday reurns decrease over ime for mos markes. We inerpre his as CEE markes becoming more efficien. Companylevel analysis shows ha sock urnover decreases before holidays. Overall his sudy conribues o our undersanding of he efficiency of CEE financial markes. 1. Ang, A. & Bekaer, G. (27). Sock reurn predicabiliy: is i here? The Review of Financial Sudies, 2 (3), pp Ariel, R.A. (199). High sock reurns before holidays: exisence and evidence on possible causes, The Journal of Finance, 45(5), pp Bley, J. & Saad, M. (21). Cross culural differences in seasonaliy, Inernaional Review of Financial Analysis, 19, Campbell, J. & Moohiro, Y. (26). Efficien ess of sock reurn predicabiliy, Journal of Financial Economics, 81 (1), pp Cao, X., Premachandra, I.M., Bharba, G.S. & Tang, Y.P. (29). Firm size and he pre-holiday effec in New Zealand, Inernaional Research Journal of Finance and Economics, 32, pp Chan, M.W.L., Khanhavi. R & Thomas, H. (1996). Seasonaliy and culural influences on four Asian sock markes, Asia Pacific Journal of Managemen, 13 (2), pp Fama, E. (197). Efficien Capial Markes: A Review of Theory and Empirical Work, Journal of Finance, 25, pp Hirshleifer, D. & Shumway, T. (23). Good day sunshine: sock reurns and he weaher, The Journal of Finance, 58 (3), pp Hong, H. & Yu, J. (29). Gone Fishin : seasonaliy in rading aciviy and asse prices, Journal of Financial Markes, 12, pp Iorgova, S. & Ong. L. (28). The capial marke of emerging Europe: insiuions, insrumens and invesors. Inernaional Moneary Fund, Working Paper No. 8/13, 28, hp:// 28/wp813.pdf. 11. Kavanagh, D.J. & Bower, G.H. (1985). Mood and self-efficacy: Impac of joy and sadness on Perceived Capabiliies, Cogniive Therapy and Research, 9 (5), pp Kim, C.W. & Park, J. (1994). Holiday effec and sock reurns: furher evidence, Journal of Financial and Quaniaive Analysis, 29 (1), pp Lakonishok, J. & Smid, S. (1988). Are seasonal anomalies real? A niney-year perspecive, The Review of Financial Sudies, 1 (4), pp Lee, I., Pei, R. & Swankoski, M. (199). Daily reurn relaionship among Asian sock markes, Journal of Business Finance & Accouning, 17 (2), pp Marre, G.K. & Worhingon, A.C. (29). An empirical noe on he holiday effec in he Ausralian sock marke, Applied Financial Leers, 16, pp McGuinness, P.B. (25). A re-examinaion of he holiday effec in he sock reurns: he case of Hong Kong, Applied Financial Economics, 15, pp Meneu, V. & Pardo, A. (24). Pre-holiday effec, large rades and small invesor behavior, Journal of Empirical Finance, 11, pp Peersen, M.A. (29). Esimaing Sandard Errors in Finance Panel Daa Ses: Comparing Approaches, Review of Financial Sudies, 22 (1), pp Peengill, G.N. (1989). Holiday closings and securiy reurns, The Journal of Financial Research, 12 (1), pp Thaler, R.H. (1999). The end of behavioural finance, Financial Analys Journal, 55 (6), pp Tonchev, D. & Kim, T. (24). Calendar effecs in Easern European financial markes: evidence from he Czech Republic, Slovakia and Slovenia, Applied Financial Economics, 14, pp