The existence and historical development of the holiday effect on the Swedish stock market

Abstract

This paper examines the holiday effect on the Swedish stock market over a 40-year period. We use a regression-based approach on daily price data to ascertain if the holiday effect is present on the Swedish stock market, analyse its historical development using 10-year subsamples, and assess whether its effects vary for different holidays. We find evidence for a positive post-holiday effect using the full sample period. When looking at the subsamples, however, we only find evidence for its existence in the 1990s and 2000s. We do not find evidence for the existence of a pre-holiday effect for any period. No holiday, considered by itself, shows evidence of a pre-holiday effect over the full sample period. For the holidays included, we only find evidence of a post-holiday effect after New Year’s.