HOLIDAY TRADING IN FUTURES MARKETS

• 成果类型: Article
• 署名作者: FABOZZI, FJ; MA, CK; BRILEY, JE
• 署名单位: Massachusetts Institute of Technology (MIT); Texas Tech University System; Texas Tech University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329147
• 发表日期: 1994
• 页码: 307-324
• 关键词: STOCK RETURNS

摘要

In this paper, we find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange-closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange-open holidays. This is consistent with positive holiday sentiments. The holiday effect is uniquely independent: The magnitude of excess holiday returns is the largest among all seasonal variations.