@Article{pakinsight,
AUTHOR = {},
TITLE = {Does the Holiday Effect Differ from Religious to Non-Religious Holidays? Empirical Evidence from Egypt},
JOURNAL = {The Economics and Finance Letters},
VOLUME = {3},
YEAR = {2016},
NUMBER = {3},
PAGES = {39-56},
URL = {http://www.pakinsight.com/archive/29/03-2016/3},
ISSN = {2312-430X},
ABSTRACT = {This study aims to investigate the presence of holiday effect on the 
Egyptian Exchange (EGX) over the period 2010 to 2015. It utilizes daily 
data of the EGX30 index prices and trading volumes and applies dummy 
variables OLS regression. Three types of holidays are examined those 
being, secular, Islamic, and Christian, and those, in turn, are 
disaggregated into their individual components. The findings reveal that
 there are differences in the behavior of stock prices between holidays.
 While the secular and Islamic holidays are mainly associated with 
positive pre-holiday returns, the Christian holidays are associated with
 positive post-holiday returns. Disaggregating these holidays into their
 individual components reveals that the Police Day holiday, Eid Al-Fitr 
holiday and Eastern Christmas holiday are the major holidays driving the
 secular, Islamic and Christian holidays’ effect respectively. 
Interestingly, the results obtained when the trading volume is used do 
not support the presence of a holiday effect on trading volume. The 
findings could have important implications for developing profitable 
investment strategies in periods of holidays.},
DOI = {10.18488/journal.29/2016.3.3/29.3.39.56}
}