Seasonally Anomalous or Not? Tests of Seasonalities
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returns on pre-holiday trading days, and the mean returns on pre-holiday trading
days are larger than the mean returns on non-holiday trading days.
Does this type of holiday effects exist only on one day immediately before and
after holidays, or on more than one day before and after holidays? Using the same
basic methodology, the test of holiday effects is extended to three trading days
preceding holidays and four trading days succeeding holidays. It can be seen from
Table 6.10, for the Shanghai market, that there are no apparent differences between
the holiday effect ...
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