Conscientia Beam || conscientiabeam.com

Export to

Citations

Contact Us

For Marketing, Sales and Subscriptions Inquiries

2637 E Atlantic Blvd #43110
Pompano Beach, FL 33062

USA

Conference List

The Economics and Finance Letters

March 2016, Volume 3, 3, pp 39-56

Does the Holiday Effect Differ from Religious to Non-Religious Holidays? Empirical Evidence from Egypt

Zeina Al-Ahmad

Suzan Al-Ali

Zeina Al-Ahmad¹ ^,

Suzan Al-Ali¹

Department of Banking and Financial Sciences, Faculty of Economics, Tishreen University, Lattakia, Syria ¹

on Google Scholar

on PubMed

Pages: 39-56

DOI: 10.18488/journal.29/2016.3.3/29.3.39.56

Article History:

Received: 09 September, 2016
Revised: 20 October, 2016
Accepted: 23 October, 2016
Published: 07 November, 2016

View Citation

906Views

Create Citation Alert

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.

Contribution/ Originality
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 (EGX).

Video:

Download Video

Download Audio

Reference:

AbdSukor, M.E., 2012. Stock returns, firm size, liquidity and the festivities effect: Asian evidence. Paper Presented at the Asian Finance Association Annual Meeting, Taipei, Taiwan.
Abu-Rub, N. and T. Sharba, 2011. Calendar effects in the Palestine securities exchange (PSE): Analysis & investigation. World Review of Business Research, 1(5): 52-66.
AL-Ahmad, Z. and K. Azzouz, 2016. Forthcoming testing the monthly effect on stock returns in a sample of Arab stock markets. Journal of AL Baath University, 38(26): 69-98.
Al-Loughani, N.E., K.M. Al-Saad and M.M. Ali, 2005. The holiday effect and stock return in the Kuwait stock exchange. Global Competitiveness, 13(1&2): 81-91.
Al-Nassar, N., 2014. The profitability of trading rules in stock markets: Evidence from GCC countries Doctoral Dissertation. Retrieved from http://scholarship.claremont.edu.
Al-Rjoub, S., 2005. Pre-holiday returns in Jordan. Dirasat Administrive Scinces, 32(2): 463-467.
Alagidede, P., 2008. Month-of-the-year and pre-holiday seasonality in African stock markets. Stirling Economics Discussion Paper No. 2008-23. Retrieved from http://dspace.stir.ac.uk.
Amihud, Y. and H. Mendelson, 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance, 42(3): 533-553.
Ariel, R.A., 1990. High stock returns before holidays: Existence and evidence on possible causes. Journal of Finance, 45(5): 1611-1626.
Barone, E., 1990. The Italian stock market: Efficiency and calendar anomalies. Journal of Banking and Finance, 14(2&3): 483-510.
Bley, J. and M. Saad, 2010. Cross-cultural differences in seasonality. International Review of Financial Analysis, 19(4): 306-312.
Brooks, C. and G. Persand, 2001. Seasonality in Southeast Asian stock markets: Some new evidence on day-of-the-week effects. Applied Economics Letter, 8(3): 155-158.
Chan, M.L., A. Khanthavit and H. Thomas, 1996. Seasonality and cultural influences on four Asian stock markets. Asia Pacific Journal of Management, 13(2): 1-24.
Choudhry, T., 2002. Day of the week effect in emerging Asian stock markets: Evidence from the GARGH model. Journal of Financial Economics, 10(1): 235-242.
Chowdhury, T.S. and S. Mostari, 2014. Impact of Eid-ul-Azha on market return in Dhaka stock exchange. Journal of Business and Management, 17(2): 25-29.
Easton, S.A., 1990. Returns to equity before and after holidays: Australian evidence and tests of plausible hypotheses. Australian Journal of Management, 15(2): 281-296.
Elliot, J. and M. Echols, 1976. Market segmentation, speculative behavior, and the term structure of interest rates. Review of Economics & Statistics, 58(1): 40-49.
Fields, M.J., 1931. Stock prices: A problem in verification. Journal of Business, 4(4): 415-418.
Fields, M.J., 1934. Security prices and stock exchange holidays in relation to short selling. Journal of Business, 7(3): 328 - 338.
Frieder, L. and A. Subrahmanyam, 2004. Nonsecular regularities in returns and volume. Financial Analysts Journal, 60(4): 29-34.
Ho, Y.K., 1990. Stock return seasonalities in Asian pacific markets. Journal of International Financial Management and Accounting, 2(1): 47-77.
Hussain, F., 1998. Seasonality in the Pakistani stock market. Pakistan Development Review, 37(1): 77-81.
Jaffe, J.F. and R. Westerfield, 1985. The weekend effect in common stock returns: The international evidence. Journal of Finance, 40(2): 433-454.
Keynes, J., 1936. The general theory of employment, interest and money: Atlantic publishers & distributors. Retrieved from http://cas.umkc.edu.
Kim, C.W. and J. Park, 1994. Holiday effects and stock returns: Further evidence. Journal of Financial and Quantitative Analysis, 29(1): 145-157.
Lakonishok, J. and S. Smidt, 1988. Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1(4): 403-425.
Loewenstein, G., U. Elke, C. Hsee and N. Welch, 2001. Risk as feelings. Psychological Bulletin, 127(2): 267-286.
McGowan, C.B.J. and N.A. Jakob, 2010. Is there an Eid al-Fitr effect in Malaysia. International Business & Economics Research Journal, 9(4): 11-20.
Meneu, V. and A. Pardo, 2004. Pre-holiday effect, large trades and small investor behavior. Journal of Empirical Finance, 11(2): 231-246.
Mustafa, K., 2008. The islamic calendar effect on Karachi stock market. Pakistan Business Review, 13(3): 562-574.
Nofsinger, J.R., 2005. Social mood and financial economics. Journal of Behavioral Finance, 6(3): 144-160.
Officer, R., 1975. Seasonality in Australian capital markets: Market efficiency and empirical issues. Journal of Financial Economics, 2(1): 29-52.
Pandey, I.M., 2002. Seasonality of Malaysia stock market. Journal of Financial Management, 9(2): 49−64.
Pettengill, G.N., 1989. Holiday closings and security returns. Journal of Financial Research, 12(1): 57-67.
Schwert, G.W., 2002. Anomalies and market efficiency. Handbook of the Economics of Finance, 1(1): 939-974.
Solnik, B. and L. Bousquet, 1990. Day of the week effect on the Paris bourse. Journal of Banking and Finance, 14(1): 461-469.
Wachtel, S.B., 1942. Certain observations on seasonal movements in stock prices. Journal of Business, 15(2): 184-193.