泛欧假日效应

IF 0.9 4区管理学 Q3 BUSINESS, FINANCE

Spanish Journal of Finance and Accounting-Revista Espanola De Financiacion Y Contabilidad Pub Date : 2015-01-28 DOI:10.1080/02102412.2015.1016716

Óscar Carchano, Á. Pardo

{"title":"泛欧假日效应","authors":"Óscar Carchano, Á. Pardo","doi":"10.1080/02102412.2015.1016716","DOIUrl":null,"url":null,"abstract":"The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.","PeriodicalId":45271,"journal":{"name":"Spanish Journal of Finance and Accounting-Revista Espanola De Financiacion Y Contabilidad","volume":"45 1","pages":"134 - 145"},"PeriodicalIF":0.9000,"publicationDate":"2015-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"The pan-European holiday effect\",\"authors\":\"Óscar Carchano, Á. Pardo\",\"doi\":\"10.1080/02102412.2015.1016716\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.\",\"PeriodicalId\":45271,\"journal\":{\"name\":\"Spanish Journal of Finance and Accounting-Revista Espanola De Financiacion Y Contabilidad\",\"volume\":\"45 1\",\"pages\":\"134 - 145\"},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2015-01-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Spanish Journal of Finance and Accounting-Revista Espanola De Financiacion Y Contabilidad\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1080/02102412.2015.1016716\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Spanish Journal of Finance and Accounting-Revista Espanola De Financiacion Y Contabilidad","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1080/02102412.2015.1016716","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 3

摘要

在金融市场背景下，单一欧洲区块的构建导致欧元区不同国家的证券交易所趋同于一个共同的交易日历，从而可以研究假日效应是泛欧日历异常还是特定于国家。通过应用模拟方法，我们提供了欧元区存在统计学和经济上异常的正的节前和节后回报的证据，这与高于平均水平的波动率无关，但这可以解释为投资者倾向于避免在欧洲假期期间抛售。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

The pan-European holiday effect

The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Spanish Journal of Finance and Accounting-Revista Espanola De Financiacion Y Contabilidad BUSINESS, FINANCE-

CiteScore

2.10

自引率

10.00%

发文量

期刊介绍： The Spanish Journal of Finance and Accounting ( SJFA) is a quarterly academic journal founded in 1972. It aims to publish high quality research papers in accounting and finance. The scope of SJFA covers theoretical and empirical analysis relating to financial markets and institutions, corporate finance, market microstructure, corporate governance, internal and management accounting and a wide spectrum of financial performance and financial reporting, including auditing and public accounting. The Journal welcomes both theoretical and empirical contributions, and in particular, theoretical papers that yield novel testable implications and empirical papers that are theoretically well motivated. The journal is not a suitable outlet for highly abstract mathematical papers or empirical papers with inadequate theoretical motivation. All manuscripts that meet these editorial guidelines are blind reviewed by external reviewers. SJFA sponsors a periodic conference in which selected papers under review are presented and discussed by additional reviewers in order to increase the quality of the papers published in the journal. If accepted for publication, these selected articles are published in the Journal with a special distinction. The Journal welcomes replies and discussions to both published and forthcoming articles. These contributions, if accepted by the editors, may eventually be published jointly with a reply or comment by the authors of the original paper.