Efeito dos feriados

De Thinkfn

O Efeito dos feriados (em inglês, holiday effect) refere-se à tendência dos mercados subirem nos dias que antecedem feriados.

Referências

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• ARSAD, Zainudin and J. Andrew COUTTS. 1997. Security price anomalies in the London International Stock Exchange: a 60 year perspective, Applied Financial Economics, Volume 7, Number 5, 1 October 1997, pp. 455-464.

• MENEU, Vicente and Angel PARDO, 2004. Pre-holiday Effect, Large Trades and Small Investor Behaviour, Journal of Empirical Finance, Volume 11, Issue 2, March 2004, Pages 231-246.

• KIM, Chan-Wung and Jinwoo PARK, 1994. Holiday Effects and Stock Returns: Further Evidence, The Journal of Financial and Quantitative Analysis, Vol. 29, No. 1. (Mar., 1994), pp. 145-157.

• CADSBY, Charles Bram and Mitchell RATNER, 1992. Turn-of-month and pre-holiday effects on stock returns: Some international evidence, Journal of Banking & Finance, Volume 16, Issue 3, June 1992, Pages 497-509.

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• FIELDS, M.J., 1934. Security prices and stock exchange holidays in relation to short selling, The Journal of Business of the University of Chicago, Vol. 7, No. 4. (Oct., 1934), pp. 328-338.

• LIANO, K. and L.R. WHITE, 1994. Business Cycles and the Pre-holiday Effect in Stock Returns. Applied Financial Economics.

• KAM, S.W., 1995. … of Daily Foreign Exchange Rates with Non-normal Assumption and Day-of-the-week and Holiday Effects. Dept. of Economics, University of Queensland.

• HIRAKI, Takato and Edwin D. MABERLY, An Analysis of Japanese Stock Return Dynamics Conditional on US Monday Holiday Closures. papers.ssrn.com.