@book{ce441dbc6b9c4ca5b3ee10bae4aa8e8b,
title = "The festivity effect and liquidity constraints: a test on countries with different calendars",
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.",
keywords = "MSC-91B28, MSC-91B84",
author = "Abadir, {Karim M.} and Laura Spierdijk",
year = "2005",
language = "English",
series = "memorandum",
publisher = "University of Twente, Department of Applied Mathematics",
number = "1772",
}