1887

n Investment Analysts Journal - The pre-holiday effect and positive emotion in the Taiwan Stock Market, 1971-2011

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Abstract

This study presents a behavioural explanation of the pre-holiday effect. For the period 1971 to 2011, we first find that the mean pre-holiday return in Taiwan's major stock market index is statistically significantly higher than the mean non-pre-holiday return. Second, the pre-holiday event offers a return that differs from that on non-pre-holidays in an economically significant manner. Third, the high return on pre-holidays is not attributable to risk, other calendar anomalies, nor macroeconomic factors. Finally, the pre-holiday effect is related to proxies for positive emotion among investors. We conclude that these findings are consistent with the positive emotion and the pre-holiday effect hypothesis.

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/content/invest/2013/77/EJC134912
2013-05-01
2016-12-07
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