How does the market behave around holidays?
In 1990, an academic paperwas published with the finding that the trading day prior to holidays in the US market had an average return 14 times greater than the average for the other days in the year. This, and other papers, found that the day immediately before holidays had the highest returns (in the period around holidays), with the third day before the holidays having the next highest return, while the day following the holiday had negative returns.
Does such a holiday effect exist in the UK market?
The following charts show the results of research on the daily returns of the FTSE 100 around holidays. The three trading days immediately prior to holidays, H(-3) to H(-1), ...