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

Karim M. Abadir, Laura Spierdijk

    Research output: Book/ReportReportProfessional

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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.
    Original languageEnglish
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Publication statusPublished - 2005

    Publication series

    Namememorandum
    PublisherDepartment of Applied Mathematics, University of Twente
    No.1772
    ISSN (Print)0169-2690

    Keywords

    • MSC-91B28
    • MSC-91B84

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