Does the Holiday Effect Differ from Religious to Non-Religious Holidays? Empirical Evidence from Egypt
Zeina Al-Ahmad, Suzan Al-Ali
on Google Scholar
09 September, 2016
20 October, 2016
23 October, 2016
07 November, 2016
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.
This study contributes to the literature in that it examines the holiday
effect using disaggregated data of secular, Islamic, and Christian
holidays with the aim of examining whether the holiday effect differs
between religious and non-religious holidays and between Islamic and
Christian ones. Keywords:
Holiday effect, Secular holidays, Religious holidays, Islamic holidays,
Christian holidays, Stock prices, Trading volume, Egyptian exchange
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This study received no specific financial support.
The authors declare that they have no competing interests.
All authors contributed equally to the conception and design of the study.
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