The festivity effect and liquidity constraints: a test on countries with different calendars

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Abadir, K.M. and Spierdijk, L. (2005) The festivity effect and liquidity constraints: a test on countries with different calendars. [Report]

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Abstract:
We show how investors' liquidity patterns can provide a common framework to explain autocorrelation of returns and volumes, and some calendar anomalies. The method helps us find new anomalies, and contribute to the explanation of older ones. We uncover a \textquotedblleft festivities effect\textquotedblright\ that is composed of a pre-festivity period of negative returns and relatively low trading activity, and a post-festivity period of positive returns and increased trading activity. We demonstrate this effect for ten countries in the Middle- and Far-East where the main festivities occur every year at a different time of the Western Gregorian calendar. In particular, we consider the Muslim Ramadan and Chinese New Year festivities in these countries.
Item Type:Report
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
Link to this item:http://purl.utwente.nl/publications/65956
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